This is for the capstone project "Optimal Execution of a VWAP order".
In this project, I implemented the stochastic control approach to solve the optimization problem of optimal execution privided by Frei[2015]. This is an example of how the stochastic control approach can be used in real-world stock tick data.
In this repository, I will show how to calibrate model parameters, simulate the gamma bridge, as well as build the shareholding trajectory.
Frei, C. and N. Westray (2015). Optimal execution of a vwap order: a stochastic control approach. Mathematical Finance 25(3), 612–639.