The following pages link to Wolfgang Hörmann (Q433632):
Displayed 41 items.
- A general control variate method for option pricing under Lévy processes (Q132360) (← links)
- Using the continuous price as control variate for discretely monitored options (Q433633) (← links)
- Generating generalized inverse Gaussian random variates by fast inversion (Q452560) (← links)
- \(t\)-Copula generation for control variates (Q622215) (← links)
- Transformed density rejection with inflection points (Q746271) (← links)
- Generating generalized inverse Gaussian random variates (Q892803) (← links)
- (Q917209) (redirect page) (← links)
- The ACR method for generating normal random variables (Q917211) (← links)
- An error in the Kinderman-Ramage method and how to fix it (Q957024) (← links)
- Efficient risk simulations for linear asset portfolios in the \(t\)-copula model (Q1041011) (← links)
- A universal generator for discrete log-concave distributions (Q1316594) (← links)
- Efficient simulations for a Bernoulli mixture model of portfolio credit risk (Q1703543) (← links)
- A note on the performance of the ``Ahrens algorithm'' (Q1849564) (← links)
- An automatic code generator for nonuniform random variate generation (Q1873045) (← links)
- Efficient algorithms for tail probabilities of exchangeable lognormal sums (Q2157423) (← links)
- An exact and implementable computation of the final outbreak size distribution under Erlang distributed infectious period (Q2197739) (← links)
- Control variates and conditional Monte Carlo for basket and Asian options (Q2443219) (← links)
- A simple generator for the \(t\) distribution (Q2471834) (← links)
- BETTER CONFIDENCE INTERVALS FOR IMPORTANCE SAMPLING (Q3067164) (← links)
- Efficient Numerical Inversion for Financial Simulations (Q3405443) (← links)
- (Q4026982) (← links)
- A sweep-plane algorithm for generating random tuples in simple polytopes (Q4210961) (← links)
- Rejection-inversion to generate variates from monotone discrete distributions (Q4369951) (← links)
- A portable random number generator well suited for the rejection method (Q4371553) (← links)
- A rejection technique for sampling from <i>T</i> -concave distributions (Q4371594) (← links)
- (Q4435446) (← links)
- (Q4549513) (← links)
- Variance Reduction for Asian Options under a General Model Framework* (Q4554735) (← links)
- Fast generation of order statistics (Q4564821) (← links)
- Continuous random variate generation by fast numerical inversion (Q4564839) (← links)
- Inverse transformed density rejection for unbounded monotone densities (Q4565392) (← links)
- Random variate generation by numerical inversion when only the density is known (Q4635155) (← links)
- Smoothed Transformed Density Rejection * (Q4655063) (← links)
- The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method (Q4844121) (← links)
- The generation of binomial random variates (Q4851439) (← links)
- A note on the quality of random variates generated by the ratio of uniforms method (Q4876050) (← links)
- (Q4934384) (← links)
- A Distributional Approach to Generalized Stochastic Processes on Locally Compact Abelian Groups (Q5249779) (← links)
- Asymptotically Optimal Design Points for Rejection Algorithms (Q5719263) (← links)
- Fast simulations in credit risk (Q5745630) (← links)
- Optimally stratified importance sampling for portfolio risk with multiple loss thresholds (Q5746726) (← links)