Mathematics of Market Microstructure under Asymmetric Information
arXiv:1809.03885
Abstract
These are the lecture notes for the summer course given for 2018 Mathematical Finance Summer School at Shandong Unversity. It contains a brief introduction to the Kyle model and the related topics in filtering, enlargement of filtrations and Markov bridges.
arXiv admin note: text overlap with arXiv:1407.2420, arXiv:1202.2980, arXiv:1607.00035 by other authors