Wolfgang Hörmann

31 papers Misc 7Journal 24
YearRankTypeTitle / Venue / Authors
2018 J jnl
Efficient simulations for a Bernoulli mixture model of portfolio credit risk.
Ann. Oper. Res.
Ismail Basoglu, Wolfgang Hörmann, Halis Sak
2014 Misc conf
Efficient stratified sampling implementations in multiresponse simulation.
WSC
Ismail Basoglu, Wolfgang Hörmann
2014 J jnl
Generating generalized inverse Gaussian random variates.
Stat. Comput.
Wolfgang Hörmann, Josef Leydold
2014 Misc conf
Improved monte carlo and quasi-monte carlo methods for the price and the greeks of asian options.
WSC
Kemal Dinçer Dingeç, Wolfgang Hörmann
2013 J jnl
Transformed density rejection with inflection points.
Stat. Comput.
Carsten H. Botts, Wolfgang Hörmann, Josef Leydold
2012 J jnl
A general control variate method for option pricing under Lévy processes.
Eur. J. Oper. Res.
Kemal Dinçer Dingeç, Wolfgang Hörmann
2012 Misc conf
New control variates for Lévy process models.
WSC
Kemal Dinçer Dingeç, Wolfgang Hörmann
2012 Misc conf
New control variates for Lévy process models.
WSC
Kemal Dinçer Dingeç, Wolfgang Hörmann
2012 Misc conf
New control variates for lévy process models.
WSC
Kemal Dinçer Dingeç, Wolfgang Hörmann
2011 J jnl
Generating generalized inverse Gaussian random variates by fast inversion.
Comput. Stat. Data Anal.
Josef Leydold, Wolfgang Hörmann
2011 J jnl
Using the continuous price as control variate for discretely monitored options.
Math. Comput. Simul.
Kemal Dinçer Dingeç, Wolfgang Hörmann
2010 J jnl
Efficient risk simulations for linear asset portfolios in the t-copula model.
Eur. J. Oper. Res.
Halis Sak, Wolfgang Hörmann, Josef Leydold
2010 J jnl
Random variate generation by numerical inversion when only the density is known.
ACM Trans. Model. Comput. Simul.
Gerhard Derflinger, Wolfgang Hörmann, Josef Leydold
2010 J jnl
t-Copula generation for control variates.
Math. Comput. Simul.
Wolfgang Hörmann, Halis Sak
2007 J jnl
A simple generator for the
Computing
Wolfgang Hörmann
2007 J jnl
Inverse transformed density rejection for unbounded monotone densities.
ACM Trans. Model. Comput. Simul.
Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
2006 Misc conf
Black-box algorithms for sampling from continuous distributions.
WSC
Josef Leydold, Wolfgang Hörmann
2004 J jnl
An error in the Kinderman-Ramage method and how to fix it.
Comput. Stat. Data Anal.
Günter Tirler, Peter Dalgaard, Wolfgang Hörmann, Josef Leydold
2004 J jnl
Smoothed Transformed Density Rejection.
Monte Carlo Methods Appl.
Josef Leydold, Wolfgang Hörmann
2003 J jnl
An automatic code generator for nonuniform random variate generation.
Math. Comput. Simul.
Josef Leydold, Gerhard Derflinger, Günter Tirler, Wolfgang Hörmann
2003 J jnl
Continuous random variate generation by fast numerical inversion.
ACM Trans. Model. Comput. Simul.
Wolfgang Hörmann, Josef Leydold
2002 J jnl
A Note on the Performance of the "Ahrens Algorithm".
Computing
Wolfgang Hörmann
2002 J jnl
Fast generation of order statistics.
ACM Trans. Model. Comput. Simul.
Wolfgang Hörmann, Gerhard Derflinger
2000 J jnl
Algorithm 802: an automatic generator for bivariate log-concave distributions.
ACM Trans. Math. Softw.
Wolfgang Hörmann
2000 Misc conf
Random-number and random-variate generation: automatic random variate generation for simulation input.
WSC
Wolfgang Hörmann, Josef Leydold
1998 J jnl
A sweep-plane algorithm for generating random tuples in simple polytopes.
Math. Comput.
Josef Leydold, Wolfgang Hörmann
1996 J jnl
Rejection-Inversion to Generate Variates from Monotone Discrete Distributions.
ACM Trans. Model. Comput. Simul.
Wolfgang Hörmann, Gerhard Derflinger
1995 J jnl
A Rejection Technique for Sampling from T-Concave Distributions.
ACM Trans. Math. Softw.
Wolfgang Hörmann
1994 J jnl
A Note on the Quality of Random Variates Generated by the Ratio of Uniforms Method.
ACM Trans. Model. Comput. Simul.
Wolfgang Hörmann
1994 J jnl
A universal generator for discrete log-concave distributions.
Computing
Wolfgang Hörmann
1993 J jnl
A portable random number generator well suited for the rejection method.
ACM Trans. Math. Softw.
Wolfgang Hörmann, Gerhard Derflinger