Runuran

MaRDI QIDQ21351swMATHCRANFDO

Authors Wolfgang H"ormann, Josef Leydold

Last update 17 January 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 0.38

Official website http://cran.r-project.org/web/packages/Runuran/index.html

Source code repository https://github.com/cran/Runuran

Cited in

(20)

• A general control variate method for option pricing under Lévy processes
• An automatic code generator for nonuniform random variate generation
• Generating generalized inverse Gaussian random variates by fast inversion
• ghyp
• ANURAN
• UNU.RAN
• GLMMadaptive
• argus
• RHclust
• riskSimul
• rerandPower
• gbeta
• trawl
• ElliptCopulas
• Efficient risk simulations for linear asset portfolios in the t-copula model
• New zero-inflated regression models with a variant of censoring
• Functional uniform priors for nonlinear modeling
• Single-index importance sampling with stratification
• Nonlinear mixed-effects models with scale mixture of skew-normal distributions
• Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions

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