The paper examines the past risk and return trade-off on the US bond market, and uses this as a basis for developing a flexible tool based on simulation of principal components to evaluate future prospects for risk and returns for investors. The principal components of the yield curve are...

Following Shimko (1993), a large amount of research has evolved around the problem of extracting risk neutral densities from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use variants of the cubic spline. These methods have the...

The paper examines the past risk and return trade-off on the US bond market, and uses this as a basis for developing a flexible tool based on simulation of principal components to evaluate future prospects for risk and returns for investors. The principal components of the yield curve are...

Following Shimko (1993), a large amount of research has evolved around the problem of extracting risk neutral densities from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use variants of the cubic spline. These methods have the...

Following Shimko (1993), a large amount of research has evolved around the problem of extracting risk neutral densities from options prices by interpolating the Balck-Scholes implied volatility smile. Some of the methods recently proposed use variants of the cubic spline. Thesee methods have the...