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W. Hörmann, J. Leydold, and G. Derflinger
Automatic Nonuniform Random Variate Generation
Series: Statistics and Computing
2004, X, 442pp, Hardcover
ISBN: 3-540-40652-2
Springer, Berlin
(Springer web page of book)
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About this book
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Table of Contents
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Introduction
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Errata
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Demo of Algorithms
About this book
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.
Table of contents
[pdf]
