I've come across couple of different ways to discretize the forward rate equation in HJM. If somebody could please help me understand why is it possible to have multiple ways here and how to pick up which one to use?

For example, Glasserman's monte carlo book and the fixed income book from Jarrow have completely different ways to discretize.

  • $\begingroup$ What are these different ways? I would use Euler or Milstein discretization. $\endgroup$
    – Egodym
    Feb 14, 2016 at 17:48


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