High performance computing in quantitative finance: a review from the pseudo-random number generator perspective

DOI10.1515/mcma-2013-0020zbMath1293.65009MaRDI QIDQ2248049

Michael Mascagni, Yue Qiu, Lin-Yee Hin

Publication date: 30 June 2014

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2013-0020

zbMATH Keywords

Monte Carlo simulation; pricing; financial applications; parallel random number generators; testing random numbers

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

65Y05: Parallel numerical computation

65C10: Random number generation in numerical analysis

Uses Software

• SPRNG
• MersenneTwister
• Diehard