Gianluca Cassese

Department of Economics, Statistics and Management

Professor

Via Bicocca degli Arcimboldi, 8

Milan, MI 20126

Italy

http://www.statistica.unimib.it/utenti/cassese

University of Lugano - Institute of Finance

Visiting Professor

Via Buffi 13

CH-6900 Lugano

Switzerland

SCHOLARLY PAPERS

9

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1,441

SSRN CITATIONS
Rank 32,204

SSRN RANKINGS

Top 32,204

in Total Papers Citations

2

CROSSREF CITATIONS

17

Scholarly Papers (9)

1.

Modelling the Implied Volatility Surface: Does Market Efficiency Matter? An Application to Mib30 Index Options

Number of pages: 37 Posted: 25 Apr 2004
Gianluca Cassese and Massimo Guidolin
Department of Economics, Statistics and Management and Bocconi University - Department of Finance
Downloads 510 (54,612)
Citation 3

Abstract:

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Implied volatility, option pricing, no-arbitrage conditions, volatility models

2.

Pricing and Informational Efficiency of the Mib30 Index Options Market. An Analysis with High Frequency Data

Number of pages: 32 Posted: 02 Sep 2003
Gianluca Cassese and Massimo Guidolin
Department of Economics, Statistics and Management and Bocconi University - Department of Finance
Downloads 349 (86,077)
Citation 1

Abstract:

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Option pricing, arbitrage, informational efficiency, MIB30 index

3.

A Note on Asset Bubbles in Continuous-Time

EFMA 2001 Lugano Meetings
Number of pages: 31 Posted: 13 Jun 2001
Gianluca Cassese
Department of Economics, Statistics and Management
Downloads 299 (102,146)
Citation 12

Abstract:

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Martingales, arbitrage, finitely additive measures, bubbles, fundamental theorem of asset pricing.

4.

Asset Pricing Without Probability

Number of pages: 24 Posted: 18 Jan 2005
Gianluca Cassese
Department of Economics, Statistics and Management
Downloads 152 (195,220)

Abstract:

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Arbitrage, Asset bubbles, Asset pricing, CAPM, Finitely additive measures, Finitely additive conditional expectation, Free lunch, Fundamental theorem of asset pricing, Martingale measure, Semimartingales

5.

Finitely Additive Supermartingales

Number of pages: 17 Posted: 16 Jul 2005
Gianluca Cassese
Department of Economics, Statistics and Management
Downloads 82 (303,597)
Citation 2

Abstract:

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Conditional expectation, Doleans-Dade measure, Doob Meyer decomposition, finitely additive measures, finitely additive supermartingales, potential, supermartingales, Yosida Hewitt decomposition

6.

Pricing and Informational Efficiency of the Mib30 Index Options Market: An Analysis with High-Frequency Data

Economic Notes, Vol. 33, No. 2, pp. 275-321, July 2004
Number of pages: 48 Posted: 07 Oct 2004
Massimo Guidolin and Gianluca Cassese
Bocconi University - Department of Finance and Department of Economics, Statistics and Management
Downloads 25 (498,038)
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7.

Asset Pricing with No Exogenous Probability Measure

Mathematical Finance, Vol. 18, Issue 1, pp. 23-54, January 2008
Number of pages: 32 Posted: 19 Dec 2007
Gianluca Cassese
Department of Economics, Statistics and Management
Downloads 24 (503,724)
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8.

Decomposition of Supermartingales Indexed by a Linearly Ordered Set

Posted: 01 May 2006
Gianluca Cassese
Department of Economics, Statistics and Management

Abstract:

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Doob Meyer decomposition, natural increasing processes, potentials, supermartingales

9.

Yan Theorem in L Infinity and Asset Pricing

Posted: 11 Jan 2005
Gianluca Cassese
Department of Economics, Statistics and Management

Abstract:

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Arbitrage, Asset pricing, Free lunch, Fundamental theorem of asset pricing, Martingale measure, Semimartingales, Yan theorem