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. Automatic Nonuniform Random Variate Generation, Hörmann, Wolfgang, Leydold Josef, and Derflinger Gerhard , Berlin Heidelberg, (2004)
  2. Smoothed Transformed Density Rejection, Leydold, Josef, and Hörmann Wolfgang , Monte Carlo Methods and Applications, Volume 10, Number 3–4, p.393–402, (2004)
  3. An Error in the Kinderman-Ramage Method and How to Fix It, Tirler, Günter, Dalgaard Peter, Hörmann Wolfgang, and Leydold Josef , Computational Statistics and Data Analysis, Volume 47, Number 3, p.433–440, (2004)
  4. Continuous Random Variate Generation by Fast Numerical Inversion, Hörmann, Wolfgang, and Leydold Josef , ACMTOMACS, Volume 13, Number 4, p.347–362, (2003)
  5. An Automatic Code Generator for Nonuniform Random Variate Generation, Leydold, Josef, Derflinger Gerhard, Tirler Günter, and Hörmann Wolfgang , Mathematics and Computers in Simulation, Volume 62, Number 3–6, p.405–412, (2003)
  6. A note on the Performance of the ``Ahrens Algorithm'', Hörmann, Wolfgang , Computing, Volume 69, p.83–89, (2002)
  7. Fast Generation of Order Statistics, Hörmann, Wolfgang, and Derflinger Gerhard , ACMTOMACS, Volume 12, Number 2, p.83–93, (2002)
  8. Variants of Transformed Density Rejection and Correlation Induction, Leydold, Josef, Janka Erich, and Hörmann Wolfgang , Monte Carlo and Quasi-Monte Carlo Methods 2000, Heidelberg, p.345–356, (2002)
  9. Universal Algorithms as an Alternative for Generating Non-Uniform Continuous Random Variates, Leydold, Josef, and Hörmann Wolfgang , {M}onte {C}arlo {S}imulation, p.177–183, (2001)
  10. Modelling Probability Distributions from Data and its Influence on Simulation, Hörmann, Wolfgang, and Bayar Onur , Proceedings IMACS Symposium on Mathematical Modeling, p.429-435, (2000)