a mixture stochastic volatility model providing a tractable method for capturing certain market characteristics. To … estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The …

We present a framework for optimal execution in presence of stochastic volatility. The theoretical model utilizes the … fair pricing theory of market impact and the Heston model for volatility. We use computer optimization to solve common …