Monte Carlo simulation of weak approximations of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve "real time" execution, as often required, one needs highly efficient implementations of the multi-point...

This paper points out that pseudo-random number generators in widely used standard software can generate severe distributional deviations from targeted distributions when used in parallel implementations. In Monte Carlo simulation of random walks for financial applications this can lead to...