<t>Monlavingia's example WAS an example of them being used in finance. The formula is the price of a European Call option.Basically Sigma algebras are used to provide a firm mathematical basis for derivative pricing. It's rarely necessary to do actual manipulation of them, it's just useful to know a...

It's not in NR. There is a description of it here:http://en.wikipedia.org/wiki/Mersenne_twister

<t>The Excel random number is quite poor I agree, and so is the Norm Inv function, But I don't think that they are so bad as to generate the behaviour you are describing.Is the following a correct summery of what happens?1. You open your sheet2. You run your macro, which gives a value X13. You rerun...

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<t>Hi,Cheers for the reply, I'm glad that there is a better way (though no built in/native method?) - but could you elaborate? I did have a look previously at boost::function, but I'm afraid the documentation was written for significantly more experienced programmers than myself. How exactly does it...

<t>Another day, another random question..Background:In basic C, it's very easy to call a function as an argument to another function: e.g If I want a funciton which finds the minimum of another function "func" I can write it like so: double Minimise(double(*func)(double x)) ** - And I can then reuse...

<t>Cheers for all the answers guys, especially stuntprogrammer for the extremely long and interesting reply.As for my problem, while writing out a fuller description I suddenly noticed an even better rewrite which also lost the extra additions. Which was nice. Still, this is a question I've wanted a...

<r>Not exactly. I have a calculation that usually uses O(N^2) multiplication operations. I've noticed that I can rearrange it to replace every pair of the multiplications by a multiplication, 2 additions and a subtraction. I just wanted to check if this would be worthwhile before rewriting my code <...

<t>Quick optimisation question:Given the usual caveats that all compilers are different, and all processors are different, would you say that in general:Replacing a multiplication with 3 additions in C++ will(i) speed up your programme(ii)Slow down your programme(iii)Be irrelvant, as the biggest bot...

Box-Mueller isn't suitable for certain monte carlo methods e.g. using stratified samples, or SOBOL.It's definately better for general simulation though,

<t>KCL is very strong on the math, moderate on the application of the math to the financial markets, and has little on computing/implementationWarwick (from what i hear) focuses less on the math, but concentrates more on the other areas.If you want to go on to a phd, or are confident that you can ge...

<t>I see. So just to confirm, the only way to generate correlate uniforms is to transform to a normal, generate correlated normals and transform back. Not entirely satisfactory...If you then had a 3rd distribution, which wasn't iid, you'd need to transform to uniform, then onto gaussian , do your co...

<t>This may be obvious - but does anyone know an efficient way of generating Uniform Random variates with a required correlation? My first thought was that this would be trivial, but all I've come up with so far isGenerate 2 UniformsUse inverse normal distribution to change these into 2 normalsUse C...

Cheers guys,Thanks for the help.

Hi all,Does anyone know where I can find a paper which has a formula for the cdf of the Normal inverse Gausian distribution? I've found the pdf in a number of places, but this is already quite slow to calculate, so I don't relish numerically integrating over it..Thanks in advance.