<t>Thanks for your reply. I finally get a hand on the Brigo & Mercurio's 2006 edition.In pp. 115, it says there are two ways to do MC:1. Sample at each time step the exact transition density from r(s_i) to r(s_i+1), i=0...q-1, under the T-forward-adjusted measure;2. Discretize the SDE for r, und...