Wolfgang Hörmann

Ph.D., Associate Professor
Phone: 
7077
 
M.S. in Mathematics, Universität Wien, 1987;
Ph.D. in Mathematics, Universität Wien, 1989.
Research Interests: 
Random variate generation, Stochastic simulation, Variance reduction techniques, Financial simulation

Recent publications

  1. t-Copula generation for control variates, Hörmann, Wolfgang, and Sak Halis , Mathematics and Computers in Simulation, Volume 81, Number 4, p.782–790, (2010)
  2. Efficient Numerical Inversion for Financial Simulations, Derflinger, Gerhard, Hörmann Wolfgang, Leydold Josef, and Sak Halis , Monte Carlo and Quasi-Monte Carlo Methods 2008, Heidelberg, p.297–304, (2009)
  3. Sampling from Linear Multivariate Densities, Hörmann, Wolfgang, and Leydold Josef , Advancing the Frontiers of Simulation: A Festschrift in Honor of George Samuel Fishman, Heidelberg, p.143–152, (2009)
  4. Black-Box Algorithms for Sampling from Continuous Distributions, Hörmann, Wolfgang, and Leydold Josef , Proceedings of the 2006 Winter Simulation Conference, p.129–136, (2006)
  5. Monte Carlo Integration Using Importance Sampling and Gibbs Sampling, Hörmann, Wolfgang, and Leydold Josef , Proceedings of the International Conference on Computational Science and Engineering, p.92–97, (2005)
  6. Asymptotically Optimal Design Points for Rejection Algorithms, Derflinger, Gerhard, and Hörmann Wolfgang , Communications in Statistics: Simulation and Computation, Volume 34, Number 4, p.879-893, (2005)
  7. Smoothed Transformed Density Rejection, Leydold, Josef, and Hörmann Wolfgang , Monte Carlo Methods and Applications, Volume 10, Number 3–4, p.393–402, (2004)
  8. An Error in the Kinderman-Ramage Method and How to Fix It, Tirler, Günter, Dalgaard Peter, Hörmann Wolfgang, and Leydold Josef , Computational Statistics and Data Analysis, Volume 47, Number 3, p.433–440, (2004)

Recent projects

  1. Variance Reduction and Quasi Monte Carlo for Financial Simulation , BAP , Start: 10/07/2012 , End: 31/12/2014
  2. Control Variates and Random Variate Generation for Option Pricing , BAP , Start: 22/03/2010 , End: 22/03/2012
  3. Automatic Random Variate Generation , Start: 06/08/2002 , End: 06/08/2003