Wolfgang Hörmann

Halis Sak

Ann. Oper. Res., 2018

2014

Generating generalized inverse Gaussian random variates.

[BibT_eX]

[DOI]

Stat. Comput., 2014

Improved monte carlo and quasi-monte carlo methods for the price and the greeks of asian options.

[BibT_eX]

[DOI]

Proceedings of the 2014 Winter Simulation Conference, 2014

Efficient stratified sampling implementations in multiresponse simulation.

[BibT_eX]

[DOI]

Ismail Basoglu

Proceedings of the 2014 Winter Simulation Conference, 2014

2013

Transformed density rejection with inflection points.

[BibT_eX]

[DOI]

Carsten H. Botts

Stat. Comput., 2013

2012

A general control variate method for option pricing under Lévy processes.

[BibT_eX]

[DOI]

Eur. J. Oper. Res., 2012

New control variates for Lévy process models.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulation Conference, 2012

2011

Using the continuous price as control variate for discretely monitored options.

[BibT_eX]

[DOI]

Math. Comput. Simul., 2011

Generating generalized inverse Gaussian random variates by fast inversion.

[BibT_eX]

[DOI]

Comput. Stat. Data Anal., 2011

2010

Random variate generation by numerical inversion when only the density is known.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2010

t-Copula generation for control variates.

[BibT_eX]

[DOI]

Halis Sak

Math. Comput. Simul., 2010

Efficient risk simulations for linear asset portfolios in the t-copula model.

[BibT_eX]

[DOI]

Halis Sak

Eur. J. Oper. Res., 2010

2007

Inverse transformed density rejection for unbounded monotone densities.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2007

A simple generator for the <i>t</i> distribution.

[BibT_eX]

[DOI]

Computing, 2007

2006

Black-box algorithms for sampling from continuous distributions.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulation Conference WSC 2006, 2006

2004

Smoothed Transformed Density Rejection.

[BibT_eX]

[DOI]

Monte Carlo Methods Appl., 2004

An error in the Kinderman-Ramage method and how to fix it.

[BibT_eX]

[DOI]

Comput. Stat. Data Anal., 2004

2003

Continuous random variate generation by fast numerical inversion.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2003

An automatic code generator for nonuniform random variate generation.

[BibT_eX]

[DOI]

Math. Comput. Simul., 2003

2002

Fast generation of order statistics.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2002

A Note on the Performance of the "Ahrens Algorithm".

[BibT_eX]

[DOI]

Computing, 2002

2000

Algorithm 802: an automatic generator for bivariate log-concave distributions.

[BibT_eX]

[DOI]

ACM Trans. Math. Softw., 2000

Random-number and random-variate generation: automatic random variate generation for simulation input.

[BibT_eX]

[DOI]

Proceedings of the 32nd conference on Winter simulation, 2000

1998

A sweep-plane algorithm for generating random tuples in simple polytopes.

[BibT_eX]

[DOI]

Math. Comput., 1998

1996

Rejection-Inversion to Generate Variates from Monotone Discrete Distributions.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 1996

1995

A Rejection Technique for Sampling from T-Concave Distributions.

[BibT_eX]

ACM Trans. Math. Softw., 1995

1994

A Note on the Quality of Random Variates Generated by the Ratio of Uniforms Method.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 1994

A universal generator for discrete log-concave distributions.

[BibT_eX]

[DOI]

Computing, 1994

1993

A portable random number generator well suited for the rejection method.

[BibT_eX]

[DOI]