Freddy Delbaen: Difference between revisions
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{{Infobox person |
{{Infobox person |
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| name = Freddy Delbaen |
| name = Freddy Delbaen |
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| image = ETH-BIB-Delbaen, Freddy (1946-)-Portr 16468.tif |
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| birth_date = {{Birth date and age|1946|11|21|df=y}} |
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| birth_place = [[Duffel, Belgium]] |
| birth_place = [[Duffel, Belgium]] |
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| alma_mater = [[Vrije Universiteit Brussel]] |
| alma_mater = [[Vrije Universiteit Brussel]] |
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'''Freddy Delbaen''' (born |
'''Freddy Delbaen''' (born 21 November 1946 in [[Duffel]], [[Belgium]]) is a Belgian-Swiss mathematician. He is professor emeritus of [[financial mathematics]] at [[ETH Zurich]].<ref name="ETHDelbaen">{{cite web|website=bi.id.ethz.ch|url=https://www.bi.id.ethz.ch/personensuche/personenDetail.view?pid=13568&lang=EN|publisher=ETH Zurich|title=Freddy Delbaen|access-date=2023-01-28}}</ref> |
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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]].<ref>{{cite web|url=https://www.laverdad.es/murcia/experto-matematica-financiera-20180531164523-nt.html|website=laverdad.es|title= El experto en matemática financiera Walter Schachermayer, nuevo 'honoris causa' de la UMU|date=May 31, 2018|lang=es}}</ref> He also introduced in a jointly written paper the notion of the [[risk measure]].<ref>{{cite web|url=https://www.globalcapital.com/article/28mwv3bkzktlhtszfsao0/derivatives/var-vs-expected-tail-loss|title=VaR vs. expected loss|date=February 28, 2000|website=globalcapital.com|access-date=2023-01-28}}</ref> |
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]].<ref>{{cite web|url=https://www.laverdad.es/murcia/experto-matematica-financiera-20180531164523-nt.html|website=laverdad.es|title= El experto en matemática financiera Walter Schachermayer, nuevo 'honoris causa' de la UMU|date=May 31, 2018|lang=es}}</ref> He also introduced in a jointly written paper the notion of the [[risk measure]].<ref>{{cite web|url=https://www.globalcapital.com/article/28mwv3bkzktlhtszfsao0/derivatives/var-vs-expected-tail-loss|title=VaR vs. expected loss|date=February 28, 2000|website=globalcapital.com|access-date=2023-01-28}}</ref> |
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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]].<ref name="ETHDelbaen" /> |
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]].<ref name="ETHDelbaen" /> |
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Delbaen is a Fellow of the [[Institute of Mathematical Statistics]]<ref>{{cite web|url=https://imstat.org/2011/06/10/ims-announces-new-fellows/|website=imstat.org|publisher=Institute of Mathematical Statistics|title=IMS announces new Fellows|date=June 10, 2011|access-date = January 28, 2023}}</ref> and the [[American Mathematical Society]].<ref>{{cite web|url=http://www.ams.org/cgi-bin/fellows/fellows.cgi|website=ams.org|publisher=American Mathematical Society|title=List of Fellows of the American Mathematical Society|access-date = January 28, 2023}}</ref> He is also a member of [[Academia Europaea]].<ref>{{cite web|url=https://www.ae-info.org/ae/Member/Delbaen_Freddy|publisher=Academia Europaea|website=ae-info.org|title=Freddy Delbaen|access-date = January 28, 2023}}</ref> |
Delbaen is a Fellow of the [[Institute of Mathematical Statistics]] since 2011<ref>{{cite web|url=https://imstat.org/2011/06/10/ims-announces-new-fellows/|website=imstat.org|publisher=Institute of Mathematical Statistics|title=IMS announces new Fellows|date=June 10, 2011|access-date = January 28, 2023}}</ref> and the [[American Mathematical Society]] since 2013.<ref>{{cite web|url=http://www.ams.org/cgi-bin/fellows/fellows.cgi|website=ams.org|publisher=American Mathematical Society|title=List of Fellows of the American Mathematical Society|access-date = January 28, 2023}}</ref> He is also a member of [[Academia Europaea]] since 2020.<ref>{{cite web|url=https://www.ae-info.org/ae/Member/Delbaen_Freddy|publisher=Academia Europaea|website=ae-info.org|title=Freddy Delbaen|access-date = January 28, 2023}}</ref> |
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== Research == |
== Research == |
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== Selected publications == |
== Selected publications == |
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* {{cite journal|first1=Freddy|last1=Delbaen|first2=Walter|last2=Schachermayer|date=1994|title=A General Version of the Fundamental Theorem of Asset Pricing |journal=Mathematische Annalen|volume=300 |number=1|pages=463–520|doi=10.1007/BF01450498}} |
* {{cite journal|first1=Freddy|last1=Delbaen|first2=Walter|last2=Schachermayer|date=1994|title=A General Version of the Fundamental Theorem of Asset Pricing |journal=Mathematische Annalen|volume=300 |number=1|pages=463–520|doi=10.1007/BF01450498}} |
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* {{cite journal|title=The existence of absolutely continuous local martingale measures|first1=Freddy|last1=Delbaen|first2=Walter|last2=Schachermayer|date=1995|journal=The Annals of Applied Probability|pages=926–945|publisher=Institute of Mathematical Statistics}} |
* {{cite journal|title=The existence of absolutely continuous local martingale measures|first1=Freddy|last1=Delbaen|first2=Walter|last2=Schachermayer|date=1995|journal=The Annals of Applied Probability|pages=926–945|publisher=Institute of Mathematical Statistics}} |
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⚫ | * {{cite journal|title=Optimal Rules for the Sequential Selection of Monotone Subsequences of Maximum Length|first1=Franz T.|last1=Bruss|first2=Freddy|last2=Delbaen|journal=Stochastic Processes and Their Applications|volume=96|date=2001|pages=313–342|doi=10.1016/S0304-4149(01)00122-3 |doi-access=free}} |
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=== Books === |
=== Books === |
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* [https://people.math.ethz.ch/~delbaen/ Homepage at ETH Zurich] |
* [https://people.math.ethz.ch/~delbaen/ Homepage at ETH Zurich] |
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{{Authority control}} |
{{Authority control}} |
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{{DEFAULTSORT:Delbaen, Freddy}} |
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[[Category:1946 births]] |
[[Category:1946 births]] |
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[[Category:Living people]] |
[[Category:Living people]] |
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[[Category:Fellows of the Institute of Mathematical Statistics]] |
[[Category:Fellows of the Institute of Mathematical Statistics]] |
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[[Category:Fellows of the American Mathematical Society]] |
[[Category:Fellows of the American Mathematical Society]] |
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[[Category:People from Duffel]] |
Latest revision as of 12:08, 13 August 2023
Freddy Delbaen | |
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Born | |
Alma mater | Vrije Universiteit Brussel |
Occupation | Financial mathematician |
Years active | 1970–present |
Employer | ETH 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[edit]
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[edit]
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[edit]
- 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[edit]
- 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[edit]
- ^ a b c "Freddy Delbaen". bi.id.ethz.ch. ETH Zurich. Retrieved 2023-01-28.
- ^ "El experto en matemática financiera Walter Schachermayer, nuevo 'honoris causa' de la UMU". laverdad.es (in Spanish). May 31, 2018.
- ^ "VaR vs. expected loss". globalcapital.com. February 28, 2000. Retrieved 2023-01-28.
- ^ "Freddy Delbaen". Mathematics Genealogy Project. Retrieved 2023-01-28.
- ^ "IMS announces new Fellows". imstat.org. Institute of Mathematical Statistics. June 10, 2011. Retrieved January 28, 2023.
- ^ "List of Fellows of the American Mathematical Society". ams.org. American Mathematical Society. Retrieved January 28, 2023.
- ^ "Freddy Delbaen". ae-info.org. Academia Europaea. Retrieved January 28, 2023.
- ^ 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 (1999). "The fundamental theorem of asset pricing for unbounded stochastic processes". Mathematische Annalen. 20 (2). doi:10.1016/S0167-6687(97)80683-X.
- ^ Delbaen, Freddy; Artzner, Philippe; Eber, Jean-Marc; Heath, David (1997). "Coherent Risk Measures". Mathematical Finance. 3 (3): 203–228.
- ^ Freddy Delbaen (2002). "Coherent risk measures on general probability spaces". Advances in Finance and Stochastics. Springer: 1–37.
External links[edit]
- 1946 births
- Living people
- 20th-century Belgian mathematicians
- 21st-century Belgian mathematicians
- 20th-century Swiss mathematicians
- 21st-century Swiss mathematicians
- Academic staff of ETH Zurich
- Vrije Universiteit Brussel alumni
- Fellows of the Institute of Mathematical Statistics
- Fellows of the American Mathematical Society
- People from Duffel