Automatic Nonuniform Random Variate Generation

Download or read book Automatic Nonuniform Random Variate Generation written by Wolfgang Hörmann and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 439 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.