Details about Gianluca A. Cassese

Access statistics for papers by Gianluca A. Cassese.

Last updated 2024-04-07. Update your information in the RePEc Author Service.

Short-id: pca234

Working Papers

2023

1. Subjective Expected Utility and Psychological Gambles
   Papers, arXiv.org
   Also in Working Papers, University of Milano-Bicocca, Department of Economics (2023)

2021

2. Complete and competitive financial markets in a complex world
   Papers, arXiv.org View citations (1)
   Also in Working Papers, University of Milano-Bicocca, Department of Economics (2020)
   See also Journal Article Complete and competitive financial markets in a complex world, Finance and Stochastics, Springer (2021) View citations (1) (2021)

2016

3. Option Pricing in an Imperfect World
   Papers, arXiv.org
   Also in Working Papers, University of Milano-Bicocca, Department of Economics (2014)

2015

4. Conglomerability and representations
   Working Papers, University of Milano-Bicocca, Department of Economics View citations (5)
5. Non Parametric Estimates of Option Prices Using Superhedging
   Papers, arXiv.org View citations (1)
   Also in Working Papers, University of Milano-Bicocca, Department of Economics (2015)

2014

6. Asset Pricing in an Imperfect World
   Papers, arXiv.org View citations (2)
   See also Journal Article Asset pricing in an imperfect world, Economic Theory, Springer (2017) View citations (6) (2017)

Journal Articles

2021

1. Complete and competitive financial markets in a complex world
   Finance and Stochastics, 2021, 25, (4), 659-688 View citations (1)
   See also Working Paper Complete and competitive financial markets in a complex world, Papers (2021) View citations (1) (2021)

2020

2. A special issue on the mathematics of subjective probability
   Decisions in Economics and Finance, 2020, 43, (1), 1-2 View citations (4)
3. Semilattices, canonical embeddings and representing measures
   Decisions in Economics and Finance, 2020, 43, (1), 55-74 View citations (1)

2019

4. NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES
   International Journal of Theoretical and Applied Finance (IJTAF), 2019, 22, (07), 1-29

2017

5. Asset pricing in an imperfect world
   Economic Theory, 2017, 64, (3), 539-570 View citations (6)
   See also Working Paper Asset Pricing in an Imperfect World, Papers (2014) View citations (2) (2014)

2016

6. A Version of Komlós Theorem for Additive Set Functions
   Sankhya A: The Indian Journal of Statistics, 2016, 78, (1), 105-123

2010

7. Quasi-martingales with a linearly ordered index set
   Statistics & Probability Letters, 2010, 80, (5-6), 421-426
8. Supermartingale decomposition with a general index set
   Stochastic Processes and their Applications, 2010, 120, (7), 1060-1073

2008

9. ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
   Mathematical Finance, 2008, 18, (1), 23-54 View citations (19)
10. Finitely Additive Supermartingales
    Journal of Theoretical Probability, 2008, 21, (3), 586-603

2007

11. Decomposition of supermartingales indexed by a linearly ordered set
    Statistics & Probability Letters, 2007, 77, (8), 795-802 View citations (3)

2006

12. Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options
    International Review of Financial Analysis, 2006, 15, (2), 145-178 View citations (3)

2005

13. A NOTE ON ASSET BUBBLES IN CONTINUOUS-TIME
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (04), 523-536 View citations (5)