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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