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

Offered courses

Recent publications

  1. Efficient simulations for a Bernoulli mixture model of portfolio credit risk, Başoğlu, İsmail, Hörmann Wolfgang, and Sak Halis , Annals of Operations Research, Volume 260, p.113–128, (2018)
  2. Mispricing in Option Pricing Models Versus Market Payoffs: An Efficiency-Based Performance Metric, Orbay, Berk, Güllü Refik, and Hörmann Wolfgang , Wilmott, Volume 2017, p.44–57, (2017)
  3. A Distributional Approach to Generalized Stochastic Processes on Locally Compact Abelian Groups, Feichtinger, HG, and Hörmann Wolfgang , p.423–446, (2014)
  4. Optimally stratified importance sampling for portfolio risk with multiple loss thresholds, Başoğlu, İsmail, Hörmann Wolfgang, and Sak Halis , Optimization, Volume 62, Number 11, p.1451–1471, (2013)
  5. Transformed density rejection with inflection points, Botts, Carsten, Hörmann Wolfgang, and Leydold Josef , Statistics and Computing, Volume 23, Number 2, p.251–260, (2013)
  6. Control variates and conditional Monte Carlo for basket and Asian options, Dingeç, Kemal Dinçer, and Hörmann Wolfgang , Insurance: Mathematics and Economics, Volume 52, Number 3, p.421–434, (2013)
  7. Generating generalized inverse Gaussian random variates, Hörmann, Wolfgang, and Leydold Josef , Statistics and Computing, p.1–11, (2013)
  8. Fast simulations in credit risk, Sak, Halis, and Hörmann Wolfgang , Quantitative Finance, Volume 12, Number 10, p.1557–1569, (2012)
  9. A general control variate method for option pricing under Lévy processes, Dingeç, Kemal Dinçer, and Hörmann Wolfgang , European Journal of Operational Research, Volume 221, Number 2, p.368–377, (2012)
  10. New control variates for Lévy process models, Dingeç, Kemal Dinçer, and Hörmann Wolfgang , Proceedings of the Winter Simulation Conference, p.15, (2012)

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