Wolfgang Hörmann

Email: 
hormannw@bogazici.edu.tr
Tel. No.: 
7077
 
Y. Lisans, Mat., Universität Wien, 1987;
Doktora, Mat., Universität Wien, 1989.

Dersler

Yayınlar

  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. 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)
  6. Generating generalized inverse Gaussian random variates, Hörmann, Wolfgang, and Leydold Josef , Statistics and Computing, p.1–11, (2013)
  7. 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)
  8. Transformed density rejection with inflection points, Botts, Carsten, Hörmann Wolfgang, and Leydold Josef , Statistics and Computing, Volume 23, Number 2, p.251–260, (2013)
  9. A general control variate method for option pricing under Lévy processes, Dingeç, Kemal Dinçer, and Hörmann Wolfgang , European Journal of Operational Research, Volume 221, Number 2, p.368–377, (2012)
  10. New control variates for Lévy process models, Dingeç, Kemal Dinçer, and Hörmann Wolfgang , Proceedings of the Winter Simulation Conference, p.15, (2012)