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Author Title [ Type(Desc)] Year
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Conference Paper
Derflinger, G., W. Hörmann, J. Leydold, and H. Sak, "Efficient Numerical Inversion for Financial Simulations", Monte Carlo and Quasi-Monte Carlo Methods 2008, Heidelberg, Springer-Verlag, pp. 297–304, 2009.
Journal Article
Sak, H., and W. Hörmann, "Fast simulations in credit risk", Quantitative Finance, vol. 12, no. 10: Routledge, pp. 1557–1569, 2012.
Başoğlu, İ., W. Hörmann, and H. Sak, "Optimally stratified importance sampling for portfolio risk with multiple loss thresholds", Optimization, vol. 62, no. 11: Taylor & Francis, pp. 1451–1471, 2013.
Hörmann, W., and H. Sak, "t-Copula generation for control variates", Mathematics and Computers in Simulation, vol. 81, no. 4: North-Holland, pp. 782–790, 2010.