This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for GARCH models under dependent innovations. We introduce a novel recursive-design residual block bootstrap procedure to accurately quantify the uncertainty around parameter estimates and volatility...

The Solvency II framework challenges insurers to evaluate and manage their embedded balance sheet risks appropriately. However, insurances hold balance sheet items, for which closed-form solutions and market prices are not available. Pure Monte Carlo valuation requires nested simulations, which...

Many problems in financial engineering involve the estimation of unknown conditional expectations across a time interval. Often Least Squares Monte Carlo techniques are used for the estimation. One method that can be combined with Least Squares Monte Carlo is the "Regress-Later" method. Unlike...