Wolfgang Hörmann

Email:
Phone:
7077
M.S. in Mathematics, Universität Wien, 1987;
Ph.D. in Mathematics, Universität Wien, 1989.
Faculty Member in the Department since: 1997
Research Interests:
Random variate generation, Stochastic simulation, Variance reduction techniques, Financial simulation
Recent publications
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Fast simulations in credit risk, , Quantitative Finance, Volume 12, Number 10, p.1557–1569, (2012)
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Using the continuous price as control variate for discretely monitored options, , Mathematics and Computers in Simulation, Volume 82, Number 4, p.691–704, (2011)
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Generating generalized inverse Gaussian random variates by fast inversion, , Computational Statistics & Data Analysis, Volume 55, Number 1, p.213–217, (2011)
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t-Copula generation for control variates, , Mathematics and Computers in Simulation, Volume 81, Number 4, p.782–790, (2010)
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Sampling from Linear Multivariate Densities, , Advancing the Frontiers of Simulation: A Festschrift in Honor of George Samuel Fishman, Heidelberg, p.143–152, (2009)
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Efficient Numerical Inversion for Financial Simulations, , Monte Carlo and Quasi-Monte Carlo Methods 2008, Heidelberg, p.297–304, (2009)
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A simple Generator for the t-Distribution, , Computing, Volume 81, (2007)
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Black-Box Algorithms for Sampling from Continuous Distributions, , Proceedings of the 2006 Winter Simulation Conference, p.129–136, (2006)
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Monte Carlo Integration Using Importance Sampling and Gibbs Sampling, , Proceedings of the International Conference on Computational Science and Engineering, p.92–97, (2005)
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Asymptotically Optimal Design Points for Rejection Algorithms, , Communications in Statistics: Simulation and Computation, Volume 34, Number 4, p.879-893, (2005)
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