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In the past 20 years, computerization has driven explosive growth in the volume of financial markets and in the variety of traded financial instruments. Increasingly sophisticated mathematical and statistical methods and rapidly expanding computational power to drive them have given rise to the field of computational finance. The wide applicability of these(More)
A fundamental part of a system's quad floating-point precision support is its companion mathematical library. We developed a hierarchical C macro based methodology for implementing the quad precision elementary functions both portable and optimized for Intel® architectures. When two or three floating-point values natively supported in the hardware are(More)
Monte Carlo simulation is one of the recognized numerical tools for pricing derivative securities, particularly flexible and useful for complex models of real markets. The goal of this article is to compare performance advantages and simplicity of using random number generators available in some industrial numerical libraries. For that purpose a simple and(More)
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