Fast and accurate sampling of conditional time-integrated variance in the Heston model is an important and challenging problem. We proved that this very complicated distribution converges to the moment-matched Inverse Gaussian distribution as the time interval goes to infinity. Leveraging on...

We propose the use of a mean quadratic variation criteria to determine an optimal trading strategy in the presence of price impact. We derive the Hamilton Jacobi Bellman (HJB) Partial Differential Equation (PDE) for the optimal strategy, assuming the underlying asset follows Geometric Brownian...