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
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Efficient simulations for a Bernoulli mixture model of portfolio credit risk, , Annals of Operations Research, Volume 260, p.113–128, (2018)
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Mispricing in Option Pricing Models Versus Market Payoffs: An Efficiency-Based Performance Metric, , Wilmott, Volume 2017, p.44–57, (2017)
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Optimally stratified importance sampling for portfolio risk with multiple loss thresholds, , Optimization, Volume 62, Number 11, p.1451–1471, (2013)
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Transformed density rejection with inflection points, , Statistics and Computing, Volume 23, Number 2, p.251–260, (2013)
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Control variates and conditional Monte Carlo for basket and Asian options, , Insurance: Mathematics and Economics, Volume 52, Number 3, p.421–434, (2013)
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Generating generalized inverse Gaussian random variates, , Statistics and Computing, p.1–11, (2013)
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Fast simulations in credit risk, , Quantitative Finance, Volume 12, Number 10, p.1557–1569, (2012)
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A general control variate method for option pricing under Lévy processes, , European Journal of Operational Research, Volume 221, Number 2, p.368–377, (2012)
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New control variates for Lévy process models, , Proceedings of the Winter Simulation Conference, p.15, (2012)
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Recent projects
- Variance Reduction and Quasi Monte Carlo for Financial Simulation , BAP , Start: 10/07/2012 , End: 31/12/2014
- Control Variates and Random Variate Generation for Option Pricing , BAP , Start: 22/03/2010 , End: 22/03/2012
- Automatic Random Variate Generation , Start: 06/08/2002 , End: 06/08/2003