Wolfgang Hörmann


Books:


  1. W. Hörmann, J. Leydold, and G. Derflinger
    Automatic Non-Uniform Random Variate Generation Springer-Verlag, Berlin Heidelberg 2004




Journal Articles:

  1. Wolfgang Hörmann and Josef Leydold.
    Generating generalized inverse Gaussian random variates. Statistics and Computing. (to appear)
  2. İsmail Başoğlu, Wolfgang Hörmann and Halis Sak.
    Optimally stratified importance sampling for portfolio risk with multiple loss thresholds. Optimization 62(11), 1451–1471. (2013)
  3. Kemal Dinçer Dingeç and Wolfgang Hörmann.
    Control variates and conditional Monte Carlo for basket and Asian options. Insurance: Mathematics and Economics 52(3), 421–434. (2013)
  4. Carsten Botts, Wolfgang Hörmann and Josef Leydold.
    Transformed density rejection with inflection points. Statistics and Computing. 23(2),251-260. (2013)
  5. Kemal Dinçer Dingeç and Wolfgang Hörmann.
    A General Control Variate Method for Option Pricing under Levy processes. European Journal of Operational Research, 221(2),368-377. (2012)
  6. Halis Sak and Wolfgang Hörmann.
    Fast Simulations in Credit Risk. Quantitative Finance, 12(10),1557-1569. (2012)
  7. Josef Leydold and Wolfgang Hörmann.
    Generating generalized inverse gaussian random variates by fast inversion. Computational Statistics and Data Analysis 55(1),213-217, (2011)
  8. Kemal Dinçer Dingeç and Wolfgang Hörmann.
    Using the continuous price as control variate for discretely monitored options. Mathematics and Computers in Simulation, Volume 82, Issue 4, 2011, Pages 691-704.
  9. Wolfgang Hörmann and Halis Sak.
    t-copula generation for control variates. Mathematics and Computers in Simulation, 81(4), 782-790.(2010)
  10. Gerhard Derflinger, Wolfgang Hörmann, and Josef Leydold.
    Random variate generation by numerical inversion when only the density is known. ACM Transactions on Modelling and Computer Simulation, 20(4), 1-25. (2010)
  11. Halis Sak, Wolfgang Hörmann and Josef Leydold.
    Better confidence intervals for importance sampling International Journal of Theoretical and Applied Finance 13(8),1279-1291, (2010)
  12. Halis Sak, Wolfgang Hörmann, and Josef Leydold.
    Efficient risk simulations for linear asset portfolios in the t-copula model. European Journal of Operational Research 202(3),802-809, (2010)
  13. Wolfgang Hörmann.
    A simple generator for the t-distribution. Computing 81(1), pp.317-322, (2007)
  14. W. Hörmann, J. Leydold and Gerhard Derflinger.
    Inverse Transformed Density Rejection for Unbounded Monotone Densities ACM TOMACS 17(4), 2007.
  15. G. Derflinger and W. Hörmann
    Asymptotically Optimal Design Points for Rejection Algorithms Communications in Statistics: Simulation and Computation 34(4), 863-894, 2005
  16. G. J. Leydold and W. Hörmann
    Smoothed Transformed Density Rejection Monte Carlo Methods and Applications 10(3-4), pp. 393--402 (2004)
  17. G. Tirler, P. Dalgaard, W. Hörmann, and J. Leydold
    An Error in the Kinderman-Ramage Method and How to Fix It Computational Statistics & Data Analysis 47(3), pp. 433-440 (2004)
  18. J. Leydold, G. Derflinger, G. Tirler, and W. Hörmann
    An Automatic Code Generator for Nonuniform Random Variate Generation Mathematics and Computers in Simulation 62(3-6), pp. 405-412 (2003)
  19. W. Hörmann and J. Leydold
    Continuous Random Variate Generation by Fast Numerical Inversion ACM Trans. Model. Comput. Simul. 13(4), pp. 347-362 (2003)
  20. W. Hörmann
    A Note on the Performance of the "Ahrens Algorithm" Computing 69(1), pp. 83-89 (2002)
  21. W. Hörmann and G. Derflinger
    Fast Generation of Order Statistics ACM Transactions on Modeling and Computer Simulation 12(2), pp. 83-93 (2002)
  22. W. Hörmann
    Algorithm 802: An Automatic Generator for Bivariate Log-Concave Distributions ACM Transactions on Mathematical Software 26(1), 201-219 (2000)
  23. J. Leydold and W. Hörmann
    A Sweep-Plane Algorithm for Generating random tuples in simple polytopes Mathematics of Computation 67, 1617-1635 (1998)
  24. W. Hörmann and G. Derflinger
    Rejection-inversion to generate variates from monotone discrete distributions ACM Transactions on Modelling and Computer Simulation, 6(3), 169-184 (1996)
  25. W. Hörmann
    A rejection technique for sampling from T-concave distributions ACM Transactions on Mathematical Software 21(2), 182-193 (1995)
  26. W. Hörmann
    A note on the quality of random variates generated by the ratio of uniforms method Computing 52, 89-96 (1994)
  27. W. Hörmann
    A universal generator for discrete log-concave distributions ACM Transactions on Modelling and Computer Simulation 4(1), 96-106 (1994)
  28. W. Hörmann and G. Derflinger
    The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method Communications in Statistics: Simulation and Computation 23(3), 847-860 (1994)
  29. W. Hörmann and G. Derflinger
    A portable uniform random number generator well suited for the rejection method ACM Transactions on Mathematical Software 19(4), 489-495 (1993)
  30. W. Hörmann
    The generation of binomial random variates Journal of Statistical Computation and Simulation 46, 101-110 (1993)
  31. W. Hörmann
    The transformed rejection method for generating Poisson random variables Insurance: Mathematics and Economics 12, 39-45 (1993)
  32. W. Hörmann and G. Derflinger
    The ACR method for generating normal random variables OR Spektrum 12, 181-185 (1990)

Articles in Proceedings:

  1. K.D. Dingeç and W. Hörmann
    New control variates for Levy process models in: C. Laroque, J. Himmelspach, R. Pasupathy, O. Rose, and A. M. Uhrmacher (eds.), Proceedings of the 2012 Winter Simulation Conference, Berlin, (2012)
  2. W. Hörmann and J. Leydold
    Monte Carlo Integration Using Importance Sampling and Gibbs Sampling in: H. Dag and Y. Deng (eds.), Proceedings of the International Conference on Computational Science and Engineering, Istanbul, pp. 92--97 (2005)
  3. J. Leydold, E. Janka, and W. Hörmann
    Variants of Transformed Density Rejection and Correlation Induction in: K.-T. Fang,F.J. Hickernell, and H. Niederreiter (eds.), Monte Carlo and Quasi-Monte Carlo Methods 2000, pp. 345-356 (2002)
  4. W. Hörmann and J. Leydold
    Automatic Random Variate Generation for Simulation Input in: J. A. Joines, R. Barton, P. Fishwick, K. Kang (eds.), Proceedings of the 2000 Winter Simulation Conference, pp. 675-682 (2000)
  5. W. Hörmann and O. Bayar
    Modelling Probability Distributions from Data and its Influence on Simulation In: I. Troch and F. Breitenecker (eds.), Proceedings IMACS Symposium on Mathematical Modeling, Argesim Report No. 15, pp. 429-435 (2000)
  6. J. Leydold and W. Hörmann
    Black Box Algorithms for Generating Non-Uniform Continuous Random Variates in: W. Jansen and J. G. Bethlehem (eds.), Compstat 2000, Short Communications and Posters, pp. 53-54 (2000)
  7. J. Leydold and W. Hörmann
    Universal Algorithms as an Alternative for Generating Non-Uniform Continuous Random Variates in: G.I. Schuëler, P.D. Spanos (eds.), Monte Carlo Simulation, pp. 177-183 (2001)
  8. J. Leydold, H. Leeb and W. Hörmann
    Higher-Dimensional Properties of Non-Uniform Pseudo-Random Variates in: H. Niederreiter, J. Spanier (eds.), Monte Carlo and Quasi-Monte Carlo Methods 1998, pp. 341-355 (2000)
  9. J. Leydold and W. Hörmann
    The automatic generation of one- and multi-dimensional distributions with transformed density rejection in: A. Sydow, Proc. 15th IMACS world congress, Vol. 2, pp. 757-760 (1997)
  10. W. Hörmann and G. Derflinger
    An automatic generator for a large class of unimodal discrete distributions in: A.R. Kaylan and A. Lehmann, ESM 97, pp. 139-144, SCS (1997)
  11. M. A. Hauser, W. Hörmann, R. M. Kunst and J. Lenneis
    A note on generation, estimation and prediction of stationary processes in: R. Dutter and W. Grossmann, Compstat, Proceedings in Computational Statistics, pp. 323-328, Physica-Verlag, Heidelberg (1994)
  12. W. Hörmann and G. Derflinger
    Universal generators for correlation induction in: R. Dutter and W. Grossmann, Compstat, Proceedings in Computational Statistics, pp. 52-57, Physica-Verlag, Heidelberg (1994)
  13. W. Hörmann
    The quality of non-uniform random numbers in: H. Dyckhoff et al., Operations Research Proceedings 1993, pp. 329-335 Springer-Verlag, Berlin (1994)
  14. W. Hörmann
    New generators of normal and Poisson deviates based on the transformed rejection method in: K.-W. Hansmann et al., Operations Research Proceedings 1992, pp. 334-341, Springer-Verlag, Berlin (1993)
  15. L. Afflerbach and W. Hörmann
    Nonuniform random numbers: a sensitivity analysis for transformation methods in: U. Dieter and G.Ch. Pflug, International Workshop on Computationally Intensive Methods in Simulation and Optimization, Lecture Notes in Econom. Math. Systems 374, Springer-Verlag (1992)

Preprints and Technical Reports:

  1. K.D. Dingeç, W. Hörmann
    Variance Reduction for Asian Options. Technical Report, BOUN IE, Istanbul, Turkey (2010)
  2. W. Hörmann and J. Leydold
    Quasi Importance Sampling Technical Report, Institut für Statistik, WU Wien (2005)
  3. W. Hörmann and J. Leydold
    Improved Perfect Slice Sampling Technical Report, Institut für Statistik, WU Wien (2003)
  4. M. A. Hauser and W. Hörmann
    The generation of stationary Gaussian time series Technical Report, Institut für Statistik, Wirtschaftsuniversität Wien (1994)

Theses:

  1. W. Hörmann
    Stochastische Prozesse und Vektorquasimaße Master Thesis (in German), University of Vienna, Austria, in German (1987)
  2. W. Hörmann
    Generalized Stochastic Processes and Wigner Distribution PhD Thesis, University of Vienna, Austria (1989)