Automatic Nonuniform Random Variate Generation |
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| Author:
| Hörmann, Wolfgang
Leydold, Josef
Derflinger, Gerhard |
| Series title: | Statistics and Computing Ser. |
| ISBN: | 978-3-540-40652-5 |
| Publication Date: | Jan 2003 |
| Publisher: | Springer
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| Book Format: | Hardback |
| List Price: | AUD $375.95 |
Book Description:
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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...
More DescriptionThe 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.