Automatic Nonuniform Random Variate Generation von Hörmann, Wolfgang, Leydold, Josef, Derflinger, Gerhard

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Generating generalized inverse Gaussian random variates von Hörmann, Wolfgang, Leydold, Josef

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Assessing intervention strategies for non-homogeneous populations using a closed form formula for R 0 von İşlier, Zeynep Gökçe, Hörmann, Wolfgang, Güllü, Refik

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Efficient Algorithms for Tail Probabilities of Exchangeable Lognormal Sums von Dingeç, Kemal Dinçer, Hörmann, Wolfgang

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Assessing intervention strategies for non-homogeneous populations using a closed form formula for R0 von İşlier, Zeynep Gökçe, Hörmann, Wolfgang, Güllü, Refik

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Efficient simulations for a Bernoulli mixture model of portfolio credit risk von Başoğlu, İsmail, Hörmann, Wolfgang, Sak, Halis

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An exact and implementable computation of the final outbreak size distribution under Erlang distributed infectious period von İşlier, Zeynep Gökçe, Güllü, Refik, Hörmann, Wolfgang

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A general control variate method for option pricing under Lévy processes von DINCER DINGEC, Kemal, HÖRMANN, Wolfgang

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Variance Reduction for Asian Options under a General Model Framework von Dingeç, Kemal Dinçer, Sak, Halis, Hörmann, Wolfgang

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Random variate generation by numerical inversion when only the density is known von Derflinger, Gerhard, Hörmann, Wolfgang, Leydold, Josef

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Fast simulations in credit risk von Sak, Halis, Hörmann, Wolfgang

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Generating generalized inverse Gaussian random variates by fast inversion von Leydold, Josef, Hörmann, Wolfgang

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Control variates and conditional Monte Carlo for basket and Asian options von Dingeç, Kemal Dinçer, Hörmann, Wolfgang

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Transformed density rejection with inflection points von Botts, Carsten, Hörmann, Wolfgang, Leydold, Josef

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Mispricing in Option Pricing Models Versus Market Payoffs: An Efficiency‐Based Performance Metric von Orbay, Berk, Güllü, Refık, Hörmann, Wolfgang

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Continuous random variate generation by fast numerical inversion von Hörmann, Wolfgang, Leydold, Josef

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Efficient risk simulations for linear asset portfolios in the t-copula model von Sak, Halis, Hörmann, Wolfgang, Leydold, Josef

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t-Copula generation for control variates von Hörmann, Wolfgang, Sak, Halis

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Using the continuous price as control variate for discretely monitored options von Dingeç, Kemal Dinçer, Hörmann, Wolfgang

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Algorithm 802: an automatic generator for bivariate log-concave distributions von HORMANN, WOLFGANG

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