Lecture 2022-1 (15): Numerical Methods: Random Number Generation 5: Generating Other Distributions 1
Channel: finmath
Date: 27/06/2022

Lecture 2022-1: Session 15: Numerical Methods for Mathematical Finance: Random Number Generation 5: Generating Other Distributions 1

- Inverse of the Cumulative Distribution Function
- Random Variable with given Distribution via ICDF Method
- ICDF Methodfor Low Discrepancy Sequences
- Numerical Errors and Domain of Inversion
- Example:ICDF Methodfor Normal Distribution
- Limits Cases u=0 ⇒ x=-∞, u=1 ⇒ x=∞