I am searching for some textbook in financial mathematics that presents information asymmetry models (maybe more advanced models), so as to make some practice. Does anbody know such a book?

  • $\begingroup$ This probably isn't what you want but it has a lot of relevant references in the bibliography. journal.r-project.org/archive/2013/RJ-2013-008/RJ-2013-008.pdf $\endgroup$
    – mark leeds
    Commented Jan 21, 2020 at 4:32
  • $\begingroup$ @mark leeds it is something to start! $\endgroup$
    – Nav89
    Commented Jan 21, 2020 at 7:17
  • $\begingroup$ @Nav89 hello, did you find any model? I search for the same topic. But I could not. Please suggest me! $\endgroup$
    – 1190
    Commented Feb 11, 2022 at 20:30
  • $\begingroup$ @markleeds I could not find anything. Please help me? $\endgroup$
    – 1190
    Commented Feb 11, 2022 at 20:30
  • $\begingroup$ Hi: not sure what you're looking for but what's wrong with A) easley, deprado and o'hara OR B) kyle or C) glosten AND milgrom ? The last two are kind of classics in information asymmetry in markets. $\endgroup$
    – mark leeds
    Commented Feb 12, 2022 at 23:44


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.