| Efficient risk simulations for linear asset portfolios in the t-copula model H Sak, W Hörmann, J Leydold European Journal of Operational Research 202 (3), 802-809, 2010 | 31 | 2010 |
| Parallel computing in Asian option pricing H Sak, S Özekici, I Boduroglu Parallel Computing 33 (2), 92-108, 2007 | 24 | 2007 |
| Fast simulations in credit risk H Sak, W Hörmann Quantitative Finance, 2011 | 22 | 2011 |
| Variance reduction for Asian options under a general model framework KD Dingec, H Sak, W Hörmann Review of Finance 19 (2), 907-949, 2015 | 17 | 2015 |
| Efficient numerical inversion for financial simulations G Derflinger, W Hörmann, J Leydold, H Sak Monte Carlo and Quasi-Monte Carlo Methods 2008, 297-304, 2009 | 12 | 2009 |
| Efficient simulations for a Bernoulli mixture model of portfolio credit risk İ Başoğlu, W Hörmann, H Sak Annals of Operations Research 260 (1-2), 113-128, 2018 | 10 | 2018 |
| Efficient Randomized Quasi-Monte Carlo Methods for Portfolio Market Risk H Sak, I Basoglu Insurance: Mathematics and Economics 76, 87-94, 2017 | 10 | 2017 |
| Optimally stratified importance sampling for portfolio risk with multiple loss thresholds İ Başoğlu, W Hörmann, H Sak Optimization 62 (11), 1451–1471, 2013 | 9 | 2013 |
| A copula-based simulation model for supply portfolio risk H Sak, Ç Haksöz The Journal of Operational Risk 6, 15-38, 2011 | 9 | 2011 |
| t-Copula generation for control variates W Hörmann, H Sak Mathematics and Computers in Simulation 81 (4), 782-790, 2010 | 9 | 2010 |
| A copula-based model for air pollution portfolio risk and its efficient simulation H Sak, G Yang, B Li, W Li Stochastic environmental research and risk assessment 31, 2607-2616, 2017 | 8 | 2017 |
| Exploring the factor zoo with a machine-learning portfolio H Sak, T Huang, M Chng WRDS Research Paper, 2020 | 3 | 2020 |
| Simulating the Continuation of a Time Series in R H Sak, W Hörmann arXiv preprint arXiv:1212.2393, 2012 | 3 | 2012 |
| News-content connections and predictable returns H Sak, X Chen https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4609889, 2023 | 1 | 2023 |
| Optimization under supplier portfolio risk considering breach of contract and market risks Q Wu, H Sak, S Seshadri, C Haksoz Risk and Decision Analysis 7 (3-4), 77-89, 2018 | 1 | 2018 |
| Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model H Sak Walter de Gruyter GmbH & Co. KG 16 (3-4), 361-377, 2010 | 1 | 2010 |
| Better confidence intervals for importance sampling H Sak, W Hörmann, J Leydold International Journal of Theoretical and Applied Finance 13 (08), 1279-1291, 2010 | 1 | 2010 |
| An R Interface to the UNU. RAN Library for Universal Random Variate Generators J Leydold, W Hörmann, H Sak | | |
Wolfgang HörmannBoğaziçi University Istanbul, Department of Industrial EngineeringVerified email at boun.edu.tr
