The comparison of C++ and Mathematica in the generation of pseudo random numbers for financial and actuarial applications

Authors:
Marco Micocci;Angelo Manna;Alvaro Tomassetti
Affiliations:
University of Rome "La Sapienza";University of Rome "La Sapienza";University of Rome "La Sapienza"
Venue:
APL '98 Proceedings of the APL98 conference on Array processing language
Year:
1998

Citing 1
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Mersenne twister: a 623-dimensionally equidistributed uniform pseudo-random number generator

ACM Transactions on Modeling and Computer Simulation (TOMACS) - Special issue on uniform random number generation

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Abstract

The paper considers the role of pseudo random number generators in the financial and actuarial numerical applications. Some generators are compared and some considerations are made about the distortion coming from their use. A general approach for the calculation of risk in financial and actuarial problems is presented.