Generating Random Numbers with Specified Distributions

Rüdiger U. Seydel ()
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Rüdiger U. Seydel: University of Köln, Institute of Mathematics

A chapter in Tools for Computational Finance, 2006, pp 61-90 from Springer

Abstract: Abstract Simulation and valuation of finance instruments require numbers with speci- fied distributions. For example, in Section 1.6 we have used numbers Z drawn from a standard normal distribution, Z ~ N(0, 1). If possible the numbers should be random. But the generation of “random numbers” by digital computers, after all, is done in a deterministic and entirely predictable way. If this point is to be stressed, one uses the term pseudo-random1.

Keywords: Generate Random; Standard Normal Variate; Parallel Straight Line; Monte Carlo Integration; Normal Deviate (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-27926-6_2

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DOI: 10.1007/3-540-27926-1_2

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