Lecture 3 Pseudo-random number generation

Creates Z ∼ N(0, 1):
Box-Muller algorithm
1. Generate U1 ∼ U[0, 1] and U2 ∼ U[0, 1],
2. θ = 2πU2, ρ = √ −2 log U1,
3. Z1 := ρcos θ is a normal variate (as well as Z2 := ρsin θ).
Computational Finance – p. 28