Wolfgang Hörmann

Publication Activity (10 Years)

Years Active: 1993-2018
Publications (10 Years): 1

Top Topics

Business Processes

Stratified Sampling

Top Venues

Ann. Oper. Res.

Eur. J. Oper. Res.

Publications

Ismail Basoglu, Wolfgang Hörmann, Halis Sak
Efficient simulations for a Bernoulli mixture model of portfolio credit risk. Ann. Oper. Res. 260 (1-2) (2018)
Wolfgang Hörmann, Josef Leydold
Generating generalized inverse Gaussian random variates. Stat. Comput. 24 (4) (2014)
Ismail Basoglu, Wolfgang Hörmann
Efficient stratified sampling implementations in multiresponse simulation. WSC (2014)
Kemal Dinçer Dingeç, Wolfgang Hörmann
Improved monte carlo and quasi-monte carlo methods for the price and the greeks of asian options. WSC (2014)
Carsten H. Botts, Wolfgang Hörmann, Josef Leydold
Transformed density rejection with inflection points. Stat. Comput. 23 (2) (2013)
Kemal Dinçer Dingeç, Wolfgang Hörmann
A general control variate method for option pricing under Lévy processes. Eur. J. Oper. Res. 221 (2) (2012)
Kemal Dinçer Dingeç, Wolfgang Hörmann
New control variates for Lévy process models. WSC (2012)
Kemal Dinçer Dingeç, Wolfgang Hörmann
New control variates for lévy process models. WSC (2012)
Kemal Dinçer Dingeç, Wolfgang Hörmann
New control variates for Lévy process models. WSC (2012)
Kemal Dinçer Dingeç, Wolfgang Hörmann
Using the continuous price as control variate for discretely monitored options. Math. Comput. Simul. 82 (4) (2011)
Josef Leydold, Wolfgang Hörmann
Generating generalized inverse Gaussian random variates by fast inversion. Comput. Stat. Data Anal. 55 (1) (2011)
Gerhard Derflinger, Wolfgang Hörmann, Josef Leydold
Random variate generation by numerical inversion when only the density is known. ACM Trans. Model. Comput. Simul. 20 (4) (2010)
Halis Sak, Wolfgang Hörmann, Josef Leydold
Efficient risk simulations for linear asset portfolios in the t-copula model. Eur. J. Oper. Res. 202 (3) (2010)
Wolfgang Hörmann, Halis Sak
t-Copula generation for control variates. Math. Comput. Simul. 81 (4) (2010)
Wolfgang Hörmann
distribution. Computing 81 (4) (2007)
Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
Inverse transformed density rejection for unbounded monotone densities. ACM Trans. Model. Comput. Simul. 17 (4) (2007)
Josef Leydold, Wolfgang Hörmann
Black-box algorithms for sampling from continuous distributions. WSC (2006)
Günter Tirler, Peter Dalgaard, Wolfgang Hörmann, Josef Leydold
An error in the Kinderman-Ramage method and how to fix it. Comput. Stat. Data Anal. 47 (3) (2004)
Josef Leydold, Wolfgang Hörmann
Smoothed Transformed Density Rejection. Monte Carlo Methods Appl. 10 (3-4) (2004)
Josef Leydold, Gerhard Derflinger, Günter Tirler, Wolfgang Hörmann
An automatic code generator for nonuniform random variate generation. Math. Comput. Simul. 62 (3-6) (2003)
Wolfgang Hörmann, Josef Leydold
Continuous random variate generation by fast numerical inversion. ACM Trans. Model. Comput. Simul. 13 (4) (2003)
Wolfgang Hörmann, Gerhard Derflinger
Fast generation of order statistics. ACM Trans. Model. Comput. Simul. 12 (2) (2002)
Wolfgang Hörmann
A Note on the Performance of the "Ahrens Algorithm". Computing 69 (1) (2002)
Wolfgang Hörmann, Josef Leydold
Random-number and random-variate generation: automatic random variate generation for simulation input. WSC (2000)
Wolfgang Hörmann
Algorithm 802: an automatic generator for bivariate log-concave distributions. ACM Trans. Math. Softw. 26 (1) (2000)
Josef Leydold, Wolfgang Hörmann
A sweep-plane algorithm for generating random tuples in simple polytopes. Math. Comput. 67 (224) (1998)
Wolfgang Hörmann, Gerhard Derflinger
Rejection-Inversion to Generate Variates from Monotone Discrete Distributions. ACM Trans. Model. Comput. Simul. 6 (3) (1996)
Wolfgang Hörmann
A Rejection Technique for Sampling from T-Concave Distributions. ACM Trans. Math. Softw. 21 (2) (1995)
Wolfgang Hörmann
A Note on the Quality of Random Variates Generated by the Ratio of Uniforms Method. ACM Trans. Model. Comput. Simul. 4 (1) (1994)
Wolfgang Hörmann
A universal generator for discrete log-concave distributions. Computing 52 (1) (1994)
Wolfgang Hörmann, Gerhard Derflinger
A portable random number generator well suited for the rejection method. ACM Trans. Math. Softw. 19 (4) (1993)