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.