  We propose kernel-based collocation methods for numerical solutions to
Heath-Jarrow-Morton models with Musiela parametrization. The methods can be
seen as the Euler-Maruyama approximation of some finite dimensional stochastic
differential equations, and allow us to compute the derivative prices by the
usual Monte Carlo methods. We derive a bound on the rate of convergence under
some decay condition on the inverse of the interpolation matrix and some
regularity conditions on the volatility functionals.
