Quotation Derflinger, Gerhard, Hörmann, Wolfgang, Leydold, Josef, Sak, Halis. 2009. Efficient Numerical Inversion for Financial Simulations. In Monte Carlo and Quasi-Monte Carlo Methods 2008, Hrsg. Pierre L'Ecuyer and Art B. Owen, 297-304. Berlin: Springer.




Generating samples from generalized hyperbolic distributions and non-central chi-square distributions by inversion has become an important task for the simulation of recent models in finance in the framework of (quasi-) Monte Carlo. However, their distribution functions are quite expensive to evaluate and thus numerical methods like root finding algorithms are extremely slow. In this paper we demonstrate how our new method based on Newton inter-polation and Gauss-Lobatto quadrature can be utilized for financial applications. Its fast marginal generation times make it competitive, even for situations where the parameters are not always constant.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Contribution to conference proceedings
Language English
Title Efficient Numerical Inversion for Financial Simulations
Title of whole publication Monte Carlo and Quasi-Monte Carlo Methods 2008
Editor Pierre L'Ecuyer and Art B. Owen
Page from 297
Page to 304
Location Berlin
Publisher Springer
Year 2009


Derflinger, Gerhard (Former researcher)
Hörmann, Wolfgang (Former researcher)
Leydold, Josef (Details)
Sak, Halis (Former researcher)
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
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