Automatic Nonuniform Random Variate Generation

Author:   Wolfgang Hörmann ,  Josef Leydold ,  Gerhard Derflinger
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   Softcover reprint of the original 1st ed. 2004
ISBN:  

9783642073724


Pages:   441
Publication Date:   10 October 2011
Format:   Paperback
Availability:   Out of stock   Availability explained
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

Our Price $419.76 Quantity:  
Add to Cart

Share |

Automatic Nonuniform Random Variate Generation


Add your own review!

Overview

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.

Author Information

Tab Content 6

Author Website:  

Countries Available

All regions
Latest Reading Guide

MRG2025CC

 

Shopping Cart
Your cart is empty
Shopping cart
Mailing List