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Gianluca A. Cassese

This is information that was supplied by Gianluca Cassese in registering through RePEc. If you are Gianluca A. Cassese, you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Gianluca
Middle Name:A.
Last Name:Cassese
RePEc Short-ID:pca234
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  1. Gianluca Cassese, 2015. "Non Parametric Estimates of Option Prices Using Superhedging," Papers 1502.03978,
  2. Gianluca, Cassese, 2015. "Conglomerability and representations," Working Papers 318, University of Milano-Bicocca, Department of Economics, revised 16 Dec 2015.
  3. Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412,, revised Sep 2016.
  4. Gianluca Cassese, 2014. "Asset Pricing in an Imperfect World," Papers 1410.6408,
  1. Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
  2. Gianluca Cassese, 2016. "A Version of Komlós Theorem for Additive Set Functions," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(1), pages 105-123, February.
  3. Cassese, Gianluca, 2010. "Quasi-martingales with a linearly ordered index set," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 421-426, March.
  4. Cassese, Gianluca, 2010. "Supermartingale decomposition with a general index set," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1060-1073, July.
  5. Gianluca Cassese, 2008. "Asset Pricing With No Exogenous Probability Measure," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 23-54.
  6. Cassese, Gianluca, 2007. "Decomposition of supermartingales indexed by a linearly ordered set," Statistics & Probability Letters, Elsevier, vol. 77(8), pages 795-802, April.
  7. Cassese, Gianluca & Guidolin, Massimo, 2006. "Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 145-178.
  8. Gianluca Cassese, 2005. "A Note On Asset Bubbles In Continuous-Time," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 523-536.
  9. Gianluca Cassese & Massimo Guidolin, 2004. "Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(2), pages 275-321, July.
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (2) 2014-06-07 2014-06-28
  2. NEP-ECM: Econometrics (1) 2015-02-22
  3. NEP-URE: Urban & Real Estate Economics (1) 2015-12-28

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