We consider a multi-asset discrete-time model of a financial market with proportional transaction costs as described by Schachermayer [7]. In this model, the set of all self-financing trading strategies contains for example trading strategies which consist of buying an asset and selling it at...

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...

The paper proposes a new approach to the mean–variance-hedging problem under transaction costs. This approach is based on the idea of dividing the gain functional into two parts. One part representing the gains resulting from a pure buying strategy, and the other part representing the gains...

This paper questions whether it is possible to derive consistency and asymptotic normality of the Gaussian quasi-maximum likelihood estimator (QMLE) for possibly the simplest multivariate GARCH model, namely, the multivariate ARCH(1) model of the Baba, Engle, Kraft, and Kroner form, under weak...