smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2026SMQ / 198633104427956
Existence and convergence of discrete-time Kyle models with multiple insiders
Jin Choi / Kasper Larsen
market microstructure / mathematical financeResource overview

Existence and convergence of discrete-time Kyle models with multiple insiders

Paper2026

by Jin Choi, Kasper Larsen

Tags
market microstructuremathematical finance

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for options and derivatives pricing and market microstructure and execution. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

  3. Order Books

    Read bid, ask, depth and queue-based market state.

  4. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

  2. Market Impact

    Connect trading speed and size to execution cost.

  3. Implementation Shortfall

    Measure execution relative to the decision price.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance Explore Market Microstructure and Execution

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Jin Choi, Kasper Larsen

2