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. Transformed density rejection with inflection points, Botts, Carsten, Hörmann Wolfgang, and Leydold Josef , Statistics and Computing, Volume 23, Number 2, p.251–260, (2013)
  2. 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)
  3. Fast simulations in credit risk, Sak, Halis, and Hörmann Wolfgang , Quantitative Finance, Volume 12, Number 10, p.1557–1569, (2012)
  4. 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)
  5. New control variates for Lévy process models, Dingeç, Kemal Dinçer, and Hörmann Wolfgang , Proceedings of the Winter Simulation Conference, p.15, (2012)
  6. Using the continuous price as control variate for discretely monitored options, Dingeç, Kemal Dinçer, and Hörmann Wolfgang , Mathematics and Computers in Simulation, Volume 82, Number 4, p.691–704, (2011)
  7. Generating generalized inverse Gaussian random variates by fast inversion, Leydold, Josef, and Hörmann Wolfgang , Computational Statistics & Data Analysis, Volume 55, Number 1, p.213–217, (2011)

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