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. An exact and implementable computation of the final outbreak size distribution under Erlang distributed infectious period, İşlier, Zeynep Gökçe, Güllü Refik, and Hörmann Wolfgang , Mathematical Biosciences, Volume 325, p.108363, (2020)
  2. Efficient simulations for a Bernoulli mixture model of portfolio credit risk, Başoğlu, İsmail, Hörmann Wolfgang, and Sak Halis , Annals of Operations Research, Volume 260, p.113–128, (2018)
  3. Mispricing in Option Pricing Models Versus Market Payoffs: An Efficiency-Based Performance Metric, Orbay, Berk, Güllü Refik, and Hörmann Wolfgang , Wilmott, Volume 2017, p.44–57, (2017)
  4. A Distributional Approach to Generalized Stochastic Processes on Locally Compact Abelian Groups, Feichtinger, HG, and Hörmann Wolfgang , p.423–446, (2014)
  5. Generating generalized inverse Gaussian random variates, Hörmann, Wolfgang, and Leydold Josef , Statistics and Computing, p.1–11, (2013)
  6. Optimally stratified importance sampling for portfolio risk with multiple loss thresholds, Başoğlu, İsmail, Hörmann Wolfgang, and Sak Halis , Optimization, Volume 62, Number 11, p.1451–1471, (2013)
  7. Transformed density rejection with inflection points, Botts, Carsten, Hörmann Wolfgang, and Leydold Josef , Statistics and Computing, Volume 23, Number 2, p.251–260, (2013)
  8. Control variates and conditional Monte Carlo for basket and Asian options, Dingeç, Kemal Dinçer, and Hörmann Wolfgang , Insurance: Mathematics and Economics, Volume 52, Number 3, p.421–434, (2013)
  9. New control variates for Lévy process models, Dingeç, Kemal Dinçer, and Hörmann Wolfgang , Proceedings of the Winter Simulation Conference, p.15, (2012)
  10. Fast simulations in credit risk, Sak, Halis, and Hörmann Wolfgang , Quantitative Finance, Volume 12, Number 10, p.1557–1569, (2012)