A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation
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- Bruti-Liberati, Nicola & Martini, Filippo & Piccardi, Massimo & Platen, Eckhard, 2008. "A hardware generator of multi-point distributed random numbers for Monte Carlo simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 45-56.
References listed on IDEAS
- Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Tisan, A. & Cirstea, M., 2013. "SOM neural network design – A new Simulink library based approach targeting FPGA implementation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 91(C), pages 134-149.
- Sergio Chavez & Eckhard Platen, 2008. "Distributional Deviations in Random Number Generation in Finance," Research Paper Series 228, Quantitative Finance Research Centre, University of Technology, Sydney.
- Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.
More about this item
Keywordsrandom number generators; random bit generators; hardware implementation; field programmable gate arrays (FPGAs); Monte Carlo simulation; weak Taylor schemes; multi-point distributed random variables;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-05-07 (All new papers)
- NEP-CMP-2005-05-07 (Computational Economics)
- NEP-ECM-2005-05-07 (Econometrics)
- NEP-ETS-2005-05-07 (Econometric Time Series)
- NEP-FIN-2005-05-07 (Finance)
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