| Publication | Date of Publication | Type |
|---|
Efficient algorithms for tail probabilities of exchangeable lognormal sums
Methodology and Computing in Applied Probability | 2022-07-28 | Paper |
An exact and implementable computation of the final outbreak size distribution under Erlang distributed infectious period
Mathematical Biosciences | 2020-09-01 | Paper |
Variance reduction for Asian options under a general model framework
Review of Finance | 2018-11-09 | Paper |
Continuous random variate generation by fast numerical inversion
ACM Transactions on Modeling and Computer Simulation | 2018-06-12 | Paper |
Inverse transformed density rejection for unbounded monotone densities
ACM Transactions on Modeling and Computer Simulation | 2018-06-12 | Paper |
Fast generation of order statistics
ACM Transactions on Modeling and Computer Simulation | 2018-06-12 | Paper |
Random variate generation by numerical inversion when only the density is known
ACM Transactions on Modeling and Computer Simulation | 2018-04-16 | Paper |
Efficient simulations for a Bernoulli mixture model of portfolio credit risk
Annals of Operations Research | 2018-03-02 | Paper |
Generating generalized inverse Gaussian random variates
Statistics and Computing | 2015-11-12 | Paper |
Transformed density rejection with inflection points
Statistics and Computing | 2015-10-16 | Paper |
A Distributional Approach to Generalized Stochastic Processes on Locally Compact Abelian Groups
New Perspectives on Approximation and Sampling Theory | 2015-05-12 | Paper |
Control variates and conditional Monte Carlo for basket and Asian options
Insurance Mathematics \& Economics | 2014-04-04 | Paper |
Optimally stratified importance sampling for portfolio risk with multiple loss thresholds
Optimization | 2014-02-07 | Paper |
Fast simulations in credit risk
Quantitative Finance | 2014-01-30 | Paper |
A general control variate method for option pricing under Lévy processes
European Journal of Operational Research | 2012-12-29 | Paper |
Generating generalized inverse Gaussian random variates by fast inversion
Computational Statistics and Data Analysis | 2012-09-15 | Paper |
A general control variate method for option pricing under Lévy processes
European Journal of Operational Research | 2012-09-01 | Paper |
Using the continuous price as control variate for discretely monitored options
Mathematics and Computers in Simulation | 2012-07-05 | Paper |
\(t\)-Copula generation for control variates
Mathematics and Computers in Simulation | 2011-01-31 | Paper |
Better confidence intervals for importance sampling
International Journal of Theoretical and Applied Finance | 2011-01-20 | Paper |
Efficient numerical inversion for financial simulations
Monte Carlo and Quasi-Monte Carlo Methods 2008 | 2010-02-15 | Paper |
Efficient risk simulations for linear asset portfolios in the \(t\)-copula model
European Journal of Operational Research | 2009-11-27 | Paper |
An error in the Kinderman-Ramage method and how to fix it
Computational Statistics and Data Analysis | 2008-11-26 | Paper |
A simple generator for the \(t\) distribution
Computing | 2008-02-18 | Paper |
Asymptotically Optimal Design Points for Rejection Algorithms
Communications in Statistics. Simulation and Computation | 2006-01-18 | Paper |
Smoothed Transformed Density Rejection *
Monte Carlo Methods and Applications | 2005-03-10 | Paper |
scientific article; zbMATH DE number 2002843 (Why is no real title available?)
| 2003-11-11 | Paper |
An automatic code generator for nonuniform random variate generation
Mathematics and Computers in Simulation | 2003-05-19 | Paper |
A note on the performance of the ``Ahrens algorithm
Computing | 2002-12-01 | Paper |
scientific article; zbMATH DE number 1790444 (Why is no real title available?)
| 2002-10-08 | Paper |
scientific article; zbMATH DE number 1390117 (Why is no real title available?)
| 2000-01-17 | Paper |
A sweep-plane algorithm for generating random tuples in simple polytopes
Mathematics of Computation | 1998-09-10 | Paper |
Rejection-inversion to generate variates from monotone discrete distributions
ACM Transactions on Modeling and Computer Simulation | 1998-05-25 | Paper |
A rejection technique for sampling from T -concave distributions
ACM Transactions on Mathematical Software | 1998-01-26 | Paper |
A portable random number generator well suited for the rejection method
ACM Transactions on Mathematical Software | 1998-01-26 | Paper |
A note on the quality of random variates generated by the ratio of uniforms method
ACM Transactions on Modeling and Computer Simulation | 1996-09-01 | Paper |
The generation of binomial random variates
Journal of Statistical Computation and Simulation | 1996-01-21 | Paper |
The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method
Communications in Statistics. Simulation and Computation | 1995-08-20 | Paper |
A universal generator for discrete log-concave distributions
Computing | 1994-03-14 | Paper |
scientific article; zbMATH DE number 125287 (Why is no real title available?)
| 1993-02-21 | Paper |
The ACR method for generating normal random variables
OR Spektrum | 1990-01-01 | Paper |
