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Mathematics of Market Microstructure under Asymmetric Information

Umut \c{C}et{\i}n

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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.

Date: 2018-09
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Handle: RePEc:arx:papers:1809.03885