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Automatic Nonuniform Random Variate Generation

Name: Automatic Nonuniform Random Variate Generation
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 01652525
Price: 107.29 EUR
Availability: InStock
Author: Wolfgang Hörmann
ISBN: 9783642073724

Wolfgang Hörmann

Josef Leydold

Gerhard Derflinger

Language

English

Book Paperback

Libristo code: 01652525

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, October 2011

The recent concept of universal (also called automatic or black-box) random variate generation can o... Full description

Libristo code: 01652525

263 b

107.29 € VAT included

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The recent concept of universal (also called automatic or black-box) random variate generation can only be found dispersed in the literature. 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.