KEYNOTE ADDRESS
The First International Workshop on
Parallel and Distributed Computing in Finance (Computational Finance)
Friday, April 18, 2008, Miami, FL, USA
Random Number Generation for Serial, Parallel, Distributed, and
Grid-Based Financial Computations
Prof. Michael Mascagni
Department of Computer Science and School of Computational Science
Florida State University
Tallahassee, FL 32306 USA
In this talk we summarize some of our work in creating computational
infrastructure to enable Monte Carlo computations in serial, parallel,
distributed, and Grid-based environments. We begin with a brief overview
of the Scalable Parallel Random Number Generators (SPRNG) Library. This
provides high quality pseudorandom numbers in all the above
environments. We then discuss specific Grid services for Monte Carlo
that we recently developed. These services reduce wall clock time and
improve the trustworthiness and integrity of Grid-based computations. We
then discuss quasirandom numbers based on scrambling in this context.
Finally, we present results that differ for quasi-Monte Carlo methods on
the Grid from those presented for pseudorandom numbers.
This is joint work with Prof. Yaohang Li of North Carolina A&T
University.