Abstract
For the simulation and valuation of finance instruments we require numbers with specified distributions. For example. in Section 1.6 we have used numbers Z that were 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 pseudorandom.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
Since in our context the predictable origin is clear we omit the modifier “pseudo,” and hereafter use the term random number. Similarly we talk about randomness of these numbers when we mean apparent randomness.
f is zero outside S. In this section S is no asset price.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2004 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Seydel, R. (2004). Generating Random Numbers with Specified Distributions. In: Tools for Computational Finance. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-22551-6_2
Download citation
DOI: https://doi.org/10.1007/978-3-662-22551-6_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-40604-4
Online ISBN: 978-3-662-22551-6
eBook Packages: Springer Book Archive