Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Automatic Nonuniform Random Variate Generation

Automatic Nonuniform Random Variate Generation

Leydold, Josef
Hörmann, Wolfgang
Derflinger, Gerhard

Hardcover

Series: Statistics and Computing

Investing & FinanceGeneral ComputersProbability & Statistics

ISBN10: 3540406522
ISBN13: 9783540406525
Publisher: Springer
Published: Oct 23 2003
Pages: 441
Weight: 1.79
Height: 1.00 Width: 6.14 Depth: 9.21
Language: English

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.

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