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Gianluca A. Cassese

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Personal Details

First Name:Gianluca
Middle Name:A.
Last Name:Cassese
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RePEc Short-ID:pca234
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Location: Milano, Italy
Homepage: http://dipeco.economia.unimib.it/
Email:
Phone: +39 02 6448 3089
Fax: +39 02 6448 3085
Postal: Piazza Ateneo Nuovo, 1 Milano 20126
Handle: RePEc:edi:dpmibit (more details at EDIRC)
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  1. Gianluca Cassese, 2015. "Non Parametric Estimates of Option Prices Using Superhedging," Papers 1502.03978, arXiv.org.
  2. Gianluca Cassese, 2014. "Asset Pricing in an Imperfect World," Papers 1410.6408, arXiv.org.
  3. Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org.
  1. Cassese, Gianluca, 2010. "Supermartingale decomposition with a general index set," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1060-1073, July.
  2. Cassese, Gianluca, 2010. "Quasi-martingales with a linearly ordered index set," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 421-426, March.
  3. Gianluca Cassese, 2008. "Asset Pricing With No Exogenous Probability Measure," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 23-54.
  4. Cassese, Gianluca, 2007. "Decomposition of supermartingales indexed by a linearly ordered set," Statistics & Probability Letters, Elsevier, vol. 77(8), pages 795-802, April.
  5. 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.
  6. 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.
  7. 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, 07.
3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (2) 2014-06-07 2014-06-28. Author is listed
  2. NEP-ECM: Econometrics (1) 2015-02-22. Author is listed

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