Wolfgang Hörmann

Available identifiers

zbMath Open hormann.wolfgangMaRDI QIDQ433632

List of research outcomes

Publication	Date of Publication	Type
Efficient algorithms for tail probabilities of exchangeable lognormal sums	2022-07-28	Paper
An exact and implementable computation of the final outbreak size distribution under Erlang distributed infectious period	2020-09-01	Paper
Variance Reduction for Asian Options under a General Model Framework*	2018-11-09	Paper
Fast generation of order statistics	2018-06-12	Paper
Continuous random variate generation by fast numerical inversion	2018-06-12	Paper
Inverse transformed density rejection for unbounded monotone densities	2018-06-12	Paper
Random variate generation by numerical inversion when only the density is known	2018-04-16	Paper
Efficient simulations for a Bernoulli mixture model of portfolio credit risk	2018-03-02	Paper
Generating generalized inverse Gaussian random variates	2015-11-12	Paper
Transformed density rejection with inflection points	2015-10-16	Paper
A Distributional Approach to Generalized Stochastic Processes on Locally Compact Abelian Groups	2015-05-12	Paper
Control variates and conditional Monte Carlo for basket and Asian options	2014-04-04	Paper
Optimally stratified importance sampling for portfolio risk with multiple loss thresholds	2014-02-07	Paper
Fast simulations in credit risk	2014-01-30	Paper
A general control variate method for option pricing under Lévy processes	2012-12-29	Paper
Generating generalized inverse Gaussian random variates by fast inversion	2012-09-15	Paper
A general control variate method for option pricing under Lévy processes	2012-09-01	Paper
Using the continuous price as control variate for discretely monitored options	2012-07-05	Paper
\(t\)-Copula generation for control variates	2011-01-31	Paper
BETTER CONFIDENCE INTERVALS FOR IMPORTANCE SAMPLING	2011-01-20	Paper
Efficient Numerical Inversion for Financial Simulations	2010-02-15	Paper
Efficient risk simulations for linear asset portfolios in the \(t\)-copula model	2009-11-27	Paper
An error in the Kinderman-Ramage method and how to fix it	2008-11-26	Paper
A simple generator for the \(t\) distribution	2008-02-18	Paper
Asymptotically Optimal Design Points for Rejection Algorithms	2006-01-18	Paper
Smoothed Transformed Density Rejection *	2005-03-10	Paper
https://portal.mardi4nfdi.de/entity/Q4435446	2003-11-11	Paper
An automatic code generator for nonuniform random variate generation	2003-05-19	Paper
A note on the performance of the ``Ahrens algorithm	2002-12-01	Paper
https://portal.mardi4nfdi.de/entity/Q4549513	2002-10-08	Paper
https://portal.mardi4nfdi.de/entity/Q4934384	2000-01-17	Paper
A sweep-plane algorithm for generating random tuples in simple polytopes	1998-09-10	Paper
Rejection-inversion to generate variates from monotone discrete distributions	1998-05-25	Paper
A portable random number generator well suited for the rejection method	1998-01-26	Paper
A rejection technique for sampling from T -concave distributions	1998-01-26	Paper
A note on the quality of random variates generated by the ratio of uniforms method	1996-09-01	Paper
The generation of binomial random variates	1996-01-21	Paper
The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method	1995-08-20	Paper
A universal generator for discrete log-concave distributions	1994-03-14	Paper
https://portal.mardi4nfdi.de/entity/Q4026982	1993-02-21	Paper
The ACR method for generating normal random variables	1990-01-01	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Wolfgang Hörmann