Freddy Delbaen
Born (1946-11-21) 21 November 1946
Duffel, Belgium
Alma materVrije Universiteit Brussel
OccupationFinancial mathematician
Years active1970–present
EmployerETH Zurich

Freddy Delbaen (born 21 November 1946 in Duffel, Belgium) is a Belgian-Swiss mathematician. He is professor emeritus of financial mathematics at ETH Zurich.[1]

Delbaen made fundamental contributions to the mathematical theory of arbitrage including proving, together with Walter Schachermayer, a general version of the fundamental theorem of asset pricing.[2] He also introduced in a jointly written paper the notion of the risk measure.[3]

His research includes topics in financial mathematics, probability theory, functional analysis and actuarial mathematics.

Life

Delbaen was born in 1946 in Duffel in the province of Antwerp.[1] He studied mathematics at the Free University of Brussels and received his doctorate there in 1971 under the supervision of Lucien Waelbroeck.[4]

From 1971 to 1995 he was a professor at the Free University of Brussels and at the University of Antwerp. In 1995, Delbaen became a full professor at the ETH Zurich, remaining there until his retirement in 2008. He is still a professor emeritus at ETH and, since 2011, also a guest lecturer at the University of Zurich.[1]

Delbaen is a Fellow of the Institute of Mathematical Statistics since 2011[5] and the American Mathematical Society since 2013.[6] He is also a member of Academia Europaea since 2020.[7]

Research

Together with Walter Schachermayer, he proved a general form of the fundamental theorem of asset pricing for (locally) bounded semimartingales, replacing the condition of "no arbitrage" with the term no free lunch with vanishing risk (NFLVR).[8] The two also proved a version for unbounded price processes.[9]

In a joint paper with P. Artzner, J. M. Eber and D. Heath, he introduced the concept of (coherent) risk measure on a finite probability space.[10] Delbaen later generalized the concept to general probability spaces.[11]

Selected publications

  • J. Bourgain; F. Delbaen (1980). "A class of special spaces". Acta Mathematica. 145: 155–176. doi:10.1007/BF02414188. S2CID 126103660.
  • Delbaen, Freddy; Schachermayer, Walter (1994). "A General Version of the Fundamental Theorem of Asset Pricing". Mathematische Annalen. 300 (1): 463–520. doi:10.1007/BF01450498.
  • Delbaen, Freddy; Schachermayer, Walter (1995). "The existence of absolutely continuous local martingale measures". The Annals of Applied Probability. Institute of Mathematical Statistics: 926–945.
  • Delbaen, Freddy; Arztner, Philippe; Eber, Jean-Marc; Heath, David (1997). "Coherent Risk Measures". Mathematical Finance. 3 (3): 203–228.
  • Delbaen, Freddy; Schachermayer, Walter (1999). "The fundamental theorem of asset pricing for unbounded stochastic processes". Mathematische Annalen. 20 (2). doi:10.1016/S0167-6687(97)80683-X.
  • Bruss, Franz T.; Delbaen, Freddy (2001). "Optimal Rules for the Sequential Selection of Monotone Subsequences of Maximum Length". Stochastic Processes and Their Applications. 96: 313–342. doi:10.1016/S0304-4149(01)00122-3.
  • Freddy Delbaen (2002). "Coherent risk measures on general probability spaces". Advances in Finance and Stochastics. Springer: 1–37.

Books

  • Monetary Utility Functions (2012). Finance and Insurance, Osaka University Lecture Notes Series. ISBN 4872592786
  • with Walter Schachermayer: The Mathematics of Arbitrage (2005). Springer Finance

References

  1. 1 2 3 "Freddy Delbaen". bi.id.ethz.ch. ETH Zurich. Retrieved 2023-01-28.
  2. ↑ "El experto en matemática financiera Walter Schachermayer, nuevo 'honoris causa' de la UMU". laverdad.es (in Spanish). May 31, 2018.
  3. ↑ "VaR vs. expected loss". globalcapital.com. February 28, 2000. Retrieved 2023-01-28.
  4. ↑ "Freddy Delbaen". Mathematics Genealogy Project. Retrieved 2023-01-28.
  5. ↑ "IMS announces new Fellows". imstat.org. Institute of Mathematical Statistics. June 10, 2011. Retrieved January 28, 2023.
  6. ↑ "List of Fellows of the American Mathematical Society". ams.org. American Mathematical Society. Retrieved January 28, 2023.
  7. ↑ "Freddy Delbaen". ae-info.org. Academia Europaea. Retrieved January 28, 2023.
  8. ↑ Delbaen, Freddy; Schachermayer, Walter (1994). "A General Version of the Fundamental Theorem of Asset Pricing". Mathematische Annalen. 300 (1): 463–520. doi:10.1007/BF01450498.
  9. ↑ Delbaen, Freddy; Schachermayer, Walter (1999). "The fundamental theorem of asset pricing for unbounded stochastic processes". Mathematische Annalen. 20 (2). doi:10.1016/S0167-6687(97)80683-X.
  10. ↑ Delbaen, Freddy; Artzner, Philippe; Eber, Jean-Marc; Heath, David (1997). "Coherent Risk Measures". Mathematical Finance. 3 (3): 203–228.
  11. ↑ Freddy Delbaen (2002). "Coherent risk measures on general probability spaces". Advances in Finance and Stochastics. Springer: 1–37.
This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.