Wolfgang Hörmann

Email: 
hormannw@bogazici.edu.tr
Phone: 
7077
 
M.S. in Mathematics, Universität Wien, 1987;
Ph.D. in Mathematics, Universität Wien, 1989.
Research Interests: 
Random variate generation, Stochastic simulation, Variance reduction techniques, Financial simulation

Offered courses

Recent publications

  1. Fast simulations in credit risk, Sak, Halis, and Hörmann Wolfgang , Quantitative Finance, Volume 12, Number 10, p.1557–1569, (2012)
  2. Using the continuous price as control variate for discretely monitored options, Dingeç, Kemal Dinçer, and Hörmann Wolfgang , Mathematics and Computers in Simulation, Volume 82, Number 4, p.691–704, (2011)
  3. Generating generalized inverse Gaussian random variates by fast inversion, Leydold, Josef, and Hörmann Wolfgang , Computational Statistics & Data Analysis, Volume 55, Number 1, p.213–217, (2011)
  4. t-Copula generation for control variates, Hörmann, Wolfgang, and Sak Halis , Mathematics and Computers in Simulation, Volume 81, Number 4, p.782–790, (2010)
  5. Efficient Numerical Inversion for Financial Simulations, Derflinger, Gerhard, Hörmann Wolfgang, Leydold Josef, and Sak Halis , Monte Carlo and Quasi-Monte Carlo Methods 2008, Heidelberg, p.297–304, (2009)
  6. Sampling from Linear Multivariate Densities, Hörmann, Wolfgang, and Leydold Josef , Advancing the Frontiers of Simulation: A Festschrift in Honor of George Samuel Fishman, Heidelberg, p.143–152, (2009)
  7. A simple Generator for the t-Distribution, Hörmann, Wolfgang , Computing, Volume 81, (2007)
  8. Black-Box Algorithms for Sampling from Continuous Distributions, Hörmann, Wolfgang, and Leydold Josef , Proceedings of the 2006 Winter Simulation Conference, p.129–136, (2006)
  9. Monte Carlo Integration Using Importance Sampling and Gibbs Sampling, Hörmann, Wolfgang, and Leydold Josef , Proceedings of the International Conference on Computational Science and Engineering, p.92–97, (2005)
  10. Asymptotically Optimal Design Points for Rejection Algorithms, Derflinger, Gerhard, and Hörmann Wolfgang , Communications in Statistics: Simulation and Computation, Volume 34, Number 4, p.879-893, (2005)