# EFFICIENT RANDOM NUMBER GENERATION FROM PROBABILITY DISTRIBUTIONS FOR FINANCIAL MODELLING

### Abstract

In this paper we pursue to analyze different aspects of frequently used

random number generators. Although random number generation is frequently considered

a trivial task that can be accomplished by using out-of-box solution, the quality of random

number source can significantly influence the accuracy of end results. We consider how a

random generator can be examined, qualified and tested for effectiveness. A test of

frequently used Mersenne twister pseudo random generator algorithm is also conducted to

demonstrate if its fit for use in a financial simulation.

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