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Automatic Nonuniform Random Variate Generation

  • Wolfgang Hörmann
  • Josef Leydold
  • Gerhard Derflinger
Book

Part of the Statistics and Computing book series (SCO)

Table of contents

  1. Front Matter
    Pages I-X
  2. Preliminaries

    1. Front Matter
      Pages 1-1
    2. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 3-12
    3. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 13-41
    4. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 43-52
  3. Continuous Univariate Distributions

    1. Front Matter
      Pages 53-53
    2. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 55-111
    3. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 113-124
    4. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 125-153
    5. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 155-164
    6. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 165-191
    7. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 193-211
  4. Discrete Univariate Distributions

    1. Front Matter
      Pages 213-213
    2. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 215-241
  5. Random Vectors

    1. Front Matter
      Pages 243-243
    2. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 245-301
  6. Implicit Modeling

    1. Front Matter
      Pages 303-303
    2. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 305-344
    3. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 345-362
    4. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 363-386
    5. Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
      Pages 387-410
  7. Back Matter
    Pages 411-441

About this book

Introduction

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 practical advantages that are little known to most simulation practitioners. 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.

Keywords

Markov Chain Monte Carlo Methods Non-Uniform Random Variate Option Pricing Random Variate Generation Time series UNU.RAN library VaR algorithms bayesian statistics

Authors and affiliations

  • Wolfgang Hörmann
    • 1
  • Josef Leydold
    • 2
  • Gerhard Derflinger
    • 2
  1. 1.Dept. of Industrial EngineeringBogazici UniversityIstanbulTurkey
  2. 2.Dept. for Applied Statistics & Data ProcessingUniversity of Economics and Business AdministrationWienAustria

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-05946-3
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-07372-4
  • Online ISBN 978-3-662-05946-3
  • Series Print ISSN 1431-8784
  • Buy this book on publisher's site
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