关注
Wolfgang Hörmann
Wolfgang Hörmann
Boğaziçi University Istanbul, Department of Industrial Engineering
在 boun.edu.tr 的电子邮件经过验证
标题
引用次数
引用次数
年份
Automatic nonuniform random variate generation
W Hörmann, J Leydold, G Derflinger
Springer, 2004
3492004
A rejection technique for sampling from T-concave distributions
W Hörmann
ACM Transactions on Mathematical Software (TOMS) 21 (2), 182-193, 1995
1201995
Continuous random variate generation by fast numerical inversion
W Hörmann, J Leydold
ACM Transactions on Modeling and Computer Simulation (TOMACS) 13 (4), 347-362, 2003
1062003
Generating generalized inverse Gaussian random variates
W Hörmann, J Leydold
Statistics and Computing 24, 547-557, 2014
842014
Random variate generation by numerical inversion when only the density is known
G Derflinger, W Hörmann, J Leydold
ACM Transactions on Modeling and Computer Simulation (TOMACS) 20 (4), 1-25, 2010
532010
The transformed rejection method for generating Poisson random variables
W Hörmann
Insurance: Mathematics and Economics 12 (1), 39-45, 1993
421993
A sweep-plane algorithm for generating random tuples in simple polytopes
J Leydold, W Hörmann
Mathematics of Computation 67 (224), 1617-1635, 1998
411998
A general control variate method for option pricing under Lévy processes
KD Dingec, W Hörmann
European Journal of Operational Research 221 (2), 368-377, 2012
372012
Automatic random variate generation for simulation input
W Hormann, J Leydold
2000 Winter Simulation Conference Proceedings (Cat. No. 00CH37165) 1, 675-682, 2000
372000
Runuran: R interface to the UNU
J Leydold, W Hörmann
RAN random variate generators, version 0.8. Department of Statistics and …, 2008
33*2008
Efficient risk simulations for linear asset portfolios in the t-copula model
H Sak, W Hörmann, J Leydold
European Journal of Operational Research 202 (3), 802-809, 2010
312010
Generating generalized inverse Gaussian random variates by fast inversion
J Leydold, W Hörmann
Computational statistics & data analysis 55 (1), 213-217, 2011
302011
GIGrvg: random variate generator for the GIG distribution
J Leydold, W Hörmann
R package version 0.5, 2017
292017
A universal generator for bivariate log-concave distributions
W Hörmann
291995
Rejection-inversion to generate variates from monotone discrete distributions
W Hörmann, G Derflinger
ACM Transactions on Modeling and Computer Simulation (TOMACS) 6 (3), 169-184, 1996
271996
Control variates and conditional Monte Carlo for basket and Asian options
KD Dingeç, W Hörmann
Insurance: Mathematics and Economics 52 (3), 421-434, 2013
262013
The ACR method for generating normal random variables
W Hörmann, G Derflinger
Operations-Research-Spektrum 12, 181-185, 1990
261990
Fast simulations in credit risk
H Sak, W Hörmann
Quantitative Finance 12 (10), 1557-1569, 2012
232012
A portable random number generator well suited for the rejection method
W Hörmann, G Derflinger
ACM Transactions on Mathematical Software (TOMS) 19 (4), 489-495, 1993
19*1993
Generalized stochastic processes and Wigner distribution
W Hörmann
na, 1989
181989
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