Wolfgang Hörmann
![](https://ie.bogazici.edu.tr/sites/ie.boun.edu.tr/files/styles/faculty_members_125_x_125/public/Do%C3%A7.Dr_.Wolfgang%20H%C3%B6rmann.jpg?itok=h75qwvlE)
Email:
Tel. No.:
7077
Y. Lisans, Mat., Universität Wien, 1987;
Doktora, Mat., Universität Wien, 1989.
Yayınlar
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An exact and implementable computation of the final outbreak size distribution under Erlang distributed infectious period, , Mathematical Biosciences, Volume 325, p.108363, (2020)
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Efficient simulations for a Bernoulli mixture model of portfolio credit risk, , Annals of Operations Research, Volume 260, p.113–128, (2018)
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Mispricing in Option Pricing Models Versus Market Payoffs: An Efficiency-Based Performance Metric, , Wilmott, Volume 2017, p.44–57, (2017)
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Generating generalized inverse Gaussian random variates, , Statistics and Computing, p.1–11, (2013)
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Optimally stratified importance sampling for portfolio risk with multiple loss thresholds, , Optimization, Volume 62, Number 11, p.1451–1471, (2013)
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Transformed density rejection with inflection points, , Statistics and Computing, Volume 23, Number 2, p.251–260, (2013)
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Control variates and conditional Monte Carlo for basket and Asian options, , Insurance: Mathematics and Economics, Volume 52, Number 3, p.421–434, (2013)
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A general control variate method for option pricing under Lévy processes, , European Journal of Operational Research, Volume 221, Number 2, p.368–377, (2012)
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New control variates for Lévy process models, , Proceedings of the Winter Simulation Conference, p.15, (2012)
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