Wolfgang Hörmann - researchr alias

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Viewing Publication 1 - 31 from 31

2018

Efficient simulations for a Bernoulli mixture model of portfolio credit riskIsmail Basoglu, Wolfgang Hörmann, Halis Sak. anor, 260(1-2):113-128, 2018. [doi]

2014

Efficient stratified sampling implementations in multiresponse simulationIsmail Basoglu, Wolfgang Hörmann. wsc 2014: 757-768 [doi]

Improved monte carlo and quasi-monte carlo methods for the price and the greeks of asian optionsKemal Dinçer Dingeç, Wolfgang Hörmann. wsc 2014: 441-452 [doi]

Generating generalized inverse Gaussian random variatesWolfgang Hörmann, Josef Leydold. sac, 24(4):547-557, 2014. [doi]

2013

Transformed density rejection with inflection pointsCarsten H. Botts, Wolfgang Hörmann, Josef Leydold. sac, 23(2):251-260, 2013. [doi]

2012

2011

Using the continuous price as control variate for discretely monitored optionsKemal Dinçer Dingeç, Wolfgang Hörmann. mcs, 82(4):691-704, 2011. [doi]

Generating generalized inverse Gaussian random variates by fast inversionJosef Leydold, Wolfgang Hörmann. csda, 55(1):213-217, 2011. [doi]

2010

Random variate generation by numerical inversion when only the density is knownGerhard Derflinger, Wolfgang Hörmann, Josef Leydold. tomacs, 20(4):18, 2010. [doi]

t-Copula generation for control variatesWolfgang Hörmann, Halis Sak. mcs, 81(4):782-790, 2010. [doi]

Efficient risk simulations for linear asset portfolios in the t-copula modelHalis Sak, Wolfgang Hörmann, Josef Leydold. eor, 202(3):802-809, 2010. [doi]

2007

A simple generator for the ::::t:::: distributionWolfgang Hörmann. computing, 81(4):317-322, 2007. [doi]

Inverse transformed density rejection for unbounded monotone densitiesWolfgang Hörmann, Josef Leydold, Gerhard Derflinger. tomacs, 17(4):18, 2007. [doi]

2006

Black-box algorithms for sampling from continuous distributionsJosef Leydold, Wolfgang Hörmann. wsc 2006: 129-136 [doi]

2004

Smoothed Transformed Density RejectionJosef Leydold, Wolfgang Hörmann. mcma, 10(3-4):393-401, 2004. [doi]

An error in the Kinderman-Ramage method and how to fix itGünter Tirler, Peter Dalgaard, Wolfgang Hörmann, Josef Leydold. csda, 47(3):433-440, 2004. [doi]

2003

Continuous random variate generation by fast numerical inversionWolfgang Hörmann, Josef Leydold. tomacs, 13(4):347-362, 2003. [doi]

An automatic code generator for nonuniform random variate generationJosef Leydold, Gerhard Derflinger, Günter Tirler, Wolfgang Hörmann. mcs, 62(3-6):405-412, 2003. [doi]

2002

A Note on the Performance of the Ahrens Algorithm Wolfgang Hörmann. computing, 69(1):83-89, 2002. [doi]

Fast generation of order statisticsWolfgang Hörmann, Gerhard Derflinger. tomacs, 12(2):83-93, 2002. [doi]

2000

Random-number and random-variate generation: automatic random variate generation for simulation inputWolfgang Hörmann, Josef Leydold. wsc 2000: 675-682 [doi]

Algorithm 802: an automatic generator for bivariate log-concave distributionsWolfgang Hörmann. TOMS, 26(1):201-219, 2000. [doi]

1998

A sweep-plane algorithm for generating random tuples in simple polytopesJosef Leydold, Wolfgang Hörmann. moc, 67(224):1617-1635, 1998.

1996

Rejection-Inversion to Generate Variates from Monotone Discrete DistributionsWolfgang Hörmann, Gerhard Derflinger. tomacs, 6(3):169-184, 1996. [doi]

1995

A Rejection Technique for Sampling from T-Concave DistributionsWolfgang Hörmann. TOMS, 21(2):182-193, 1995.

1994

A Note on the Quality of Random Variates Generated by the Ratio of Uniforms MethodWolfgang Hörmann. tomacs, 4(1):96-106, 1994. [doi]

A universal generator for discrete log-concave distributionsWolfgang Hörmann. computing, 52(1):89-96, 1994. [doi]

1993

A portable random number generator well suited for the rejection methodWolfgang Hörmann, Gerhard Derflinger. TOMS, 19(4):489-495, 1993. [doi]

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