Quotation Hörmann, Wolfgang, Leydold, Josef, Derflinger, Gerhard. 2004. Automatic Nonuniform Ramdom Variate Generation. Berlin/Heidelberg/New York: Springer Verlag.


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Abstract

Non-uniform random variate generation is an established research area in the intersection of mathematics, statistics and computer science. Although random variate generation with popular standard distributions have become part of every course on discrete event simulation and on Monte Carlo methods the recent concept of universal (also called automatic or black-box) random variate generation can only be found dispersed in literature. This new concept has great practica advantages that are little known to most simulation pracitioners. Being unique in its overall organization the book covers not only the mathematical and statistical theory but also deals with the implementation of such methods. All algorithms introduced in the book are designed for practical use in simulation and have been coded and made available by the authors. Examples of possible applications of the presented algorithms (including option pricing, VaR and Bayesian statistics) are presented at the end of the book.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Book (monograph)
Language English
Title Automatic Nonuniform Ramdom Variate Generation
Location Berlin/Heidelberg/New York
Publisher Springer Verlag
Year 2004
ISBN 3540406522

Associations

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