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C# programming, machine learning, quantitative finance, numerical methods

In my previous post here I have shared with you some methods for generating uniform random variables. For many practical tasks we need random variables that are distributed normally around some mean. There are two well know approaches for transforming … Continue reading

Posted in Monte Carlo
Tagged Numerical Analysis, Random Variables

At the heart of any Monte Carlo method are two fundamental building blocks. The first is the generation of uniform random variables. The second is the transformation of the generated uniform distribution to whichever is the required distribution for the … Continue reading

Posted in Monte Carlo
Tagged Numerical Analysis, Random Variables

Monte Carlo is a name given to numerical methods that involve random number generation. Such numerical methods are used to solve many problems in mathematics, finance and computing. For example, simulation of a random walk is based on some Monte … Continue reading

Posted in Monte Carlo
Tagged Random Variables