Gianluca Cassese
http://usi.to/epn
Publications
Key publications (5)
- Cassese G. (2017) Asset pricing in an imperfect world
- Cassese G. (2009) Sure Wins, Separating Probabilities and the Representation of Linear Functionals
- Cassese G. (2008) Asset Pricing With no Exogenous Probability Measure
- Cassese G. (2007) Yan Theorem in L infinity with Applications to Asset Pricing
- Cassese G. (2005) A Note on Asset Bubbles in Continuous Time
Journal Article (14)
- Cassese G. (2017) Asset pricing in an imperfect world, Economic Theory:539-570
- Cassese G. (2010) Quasi-martingales with a linearly ordered index set, Statistics and probability letters, Vol. 80, 421-426
- Cassese G. (2009) Sure Wins, Separating Probabilities and the Representation of Linear Functionals, Journal of Mathematical Analysis and Applications, vol. 354, 558-563
- Cassese G. (2008) Asset Pricing With no Exogenous Probability Measure, Mathematical Finance, 18:23-54
- Cassese G. (2008) Finitely Additive Supermartingales, Journal of Theoretical Probability
- Cassese G. (2007) Decomposition of Supermartingales Indexed by a Linearly Ordered Set, Statistics and Probability Letters Vol 77:8, 795-802
- Cassese G. (2007) Yan Theorem in L infinity with Applications to Asset Pricing, Acta Mathematicae Applicatae Sinica (English series) Vol. 23:4, 551-562
- Cassese G., Guidolin M. (2006) Modelling the Italian MIB30 Implied Volatility Surface. Does Market Efficiency Matter?, International Review of Financial Analysis, Vol. 15:4, 145-178
- Cassese G. (2005) A Note on Asset Bubbles in Continuous Time, International Journal of Theoretical and Applied Finance, Vol. 8: 4, 1-14
- Cassese G., Guidolin M. (2004) Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High Frequency Data, Economic Notes, vol 33:2, 275-321.
- Cassese G. (2003) Il Mercato Italiano delle Opzioni sull'Indice di Borsa, Bancaria (1):87-95
- Cassese G. (1999) Arbitrage Theory with Bounded Prices, International Review of Economics and Business, Vol. 46, pp. 233-244
- Cassese G. (1997) Incompleteness of Markets and Vagueness of Beliefs, International Review of Economics and Business, Vol. 44, pp. 837-855.
- Cassese G. (1995) Asset Evaluation under Continuous-time: Some Remarks, International Review of Economics and Business, Vol. 42, pp. 469-483.
Book chapter (1)
- Cassese G. (2002) Il Mercato degli Strumenti Derivati in Italia. Fondazione Rosselli - Settimo Rapporto sul Sistema Finanziario Italiano. Roma, Edibank
