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"An exact and implementable computation of the final outbreak size distribution under Erlang distributed infectious period",
Mathematical Biosciences, vol. 325, pp. 108363, 2020.
"Efficient simulations for a Bernoulli mixture model of portfolio credit risk",
Annals of Operations Research, vol. 260, pp. 113–128, 2018.
"Mispricing in Option Pricing Models Versus Market Payoffs: An Efficiency-Based Performance Metric",
Wilmott, vol. 2017, pp. 44–57, 2017.
A Distributional Approach to Generalized Stochastic Processes on Locally Compact Abelian Groups,
: Springer International Publishing, pp. 423–446, 2014.
"Control variates and conditional Monte Carlo for basket and Asian options",
Insurance: Mathematics and Economics, vol. 52, no. 3: North-Holland, pp. 421–434, 2013.
"Generating generalized inverse Gaussian random variates",
Statistics and Computing: Springer US, pp. 1–11, 2013.
"Optimally stratified importance sampling for portfolio risk with multiple loss thresholds",
Optimization, vol. 62, no. 11: Taylor & Francis, pp. 1451–1471, 2013.
"Transformed density rejection with inflection points",
Statistics and Computing, vol. 23, no. 2: Springer US, pp. 251–260, 2013.
"Fast simulations in credit risk",
Quantitative Finance, vol. 12, no. 10: Routledge, pp. 1557–1569, 2012.
"A general control variate method for option pricing under Lévy processes",
European Journal of Operational Research, vol. 221, no. 2: North-Holland, pp. 368–377, 2012.
"New control variates for Lévy process models",
Proceedings of the Winter Simulation Conference: Winter Simulation Conference, pp. 15, 2012.
"Generating generalized inverse Gaussian random variates by fast inversion",
Computational Statistics & Data Analysis, vol. 55, no. 1: North-Holland, pp. 213–217, 2011.
"Using the continuous price as control variate for discretely monitored options",
Mathematics and Computers in Simulation, vol. 82, no. 4: North-Holland, pp. 691–704, 2011.
"t-Copula generation for control variates",
Mathematics and Computers in Simulation, vol. 81, no. 4: North-Holland, pp. 782–790, 2010.
"Efficient Numerical Inversion for Financial Simulations",
Monte Carlo and Quasi-Monte Carlo Methods 2008, Heidelberg, Springer-Verlag, pp. 297–304, 2009.
"Sampling from Linear Multivariate Densities",
Advancing the Frontiers of Simulation: A Festschrift in Honor of George Samuel Fishman, Heidelberg, Springer-Verlag, pp. 143–152, 2009.
"A simple Generator for the t-Distribution",
Computing, vol. 81, 2007.
"Black-Box Algorithms for Sampling from Continuous Distributions",
Proceedings of the 2006 Winter Simulation Conference, pp. 129–136, 2006.
"Asymptotically Optimal Design Points for Rejection Algorithms",
Communications in Statistics: Simulation and Computation, vol. 34, no. 4, pp. 879-893, 2005.
"Monte Carlo Integration Using Importance Sampling and Gibbs Sampling",
Proceedings of the International Conference on Computational Science and Engineering, pp. 92–97, 2005.
Automatic Nonuniform Random Variate Generation,
, Berlin Heidelberg, Springer-Verlag, 2004.
"An Error in the Kinderman-Ramage Method and How to Fix It",
Computational Statistics and Data Analysis, vol. 47, no. 3, pp. 433–440, 2004.
"Smoothed Transformed Density Rejection",
Monte Carlo Methods and Applications, vol. 10, no. 3–4, pp. 393–402, 2004.
"An Automatic Code Generator for Nonuniform Random Variate Generation",
Mathematics and Computers in Simulation, vol. 62, no. 3–6, pp. 405–412, 2003.
"Continuous Random Variate Generation by Fast Numerical Inversion",
ACMTOMACS, vol. 13, no. 4, pp. 347–362, 2003.
"Fast Generation of Order Statistics",
ACMTOMACS, vol. 12, no. 2, pp. 83–93, 2002.
"A note on the Performance of the ``Ahrens Algorithm''",
Computing, vol. 69, pp. 83–89, 2002.
"Variants of Transformed Density Rejection and Correlation Induction",
Monte Carlo and Quasi-Monte Carlo Methods 2000, Heidelberg, Springer-Verlag, pp. 345–356, 2002.
"Universal Algorithms as an Alternative for Generating Non-Uniform Continuous Random Variates",
{M}onte {C}arlo {S}imulation: A. A. Balkema, pp. 177–183, 2001.
"Algorithm 802: An Automatic Generator for Bivariate Log-Concave Distributions",
ACMTOMS, vol. 26, no. 1, pp. 201–219, 2000.
