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Please recommend a book regarding Monte Carlo simulation in OAS

LarryChen

LarryChen

Joined
1/22/15
Messages
4
Points
11
I couldn't find a book that explains in details how to use Monte Carlo Simulation to generate a number of interest rate scenarios. And then based on the interest rate scenarios, how to calculate the OAS to account for embedded options in the bond. I understand the basic idea but I expect to master every detail in this approach. Thanks so much for your recommendations!
 
...
everyone has their own "detailed approach"...
i started with "Monte Carlo Methods in Financial Engineering"...
 
IntoDarkness said:
...
everyone has their own "detailed approach"...
i started with "Monte Carlo Methods in Financial Engineering"...
Click to expand...
Thanks for your recommendation. I reviewed this book in Amazon. It seems it covers a lot on option pricing. Does the book discuss in details how to approach OAS calculation?
 
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