A hardware generator for multi-point distributed random variables

In Monte Carlo simulation of weak approximation of stochastic differential equations, multi-point distributed random variables play an important role. However, they need highly efficient implementations to meet the "real-time" requirements of applications such as the pricing of complex derivative securities. In this paper, a fast and flexible dedicated hardware generator of multi-point distributed random variables on a field programmable gate array (FPGA) is presented. A comparative performance analysis demonstrates that the hardware solution is bottleneck-free, retains the flexibility of a traditional software implementation and significantly increases the computational efficiency of the overall simulation.