Freddy Delbaen

Edit links
From Wikipedia, the free encyclopedia

This is an old revision of this page, as edited by Tensorproduct (talk | contribs) at 12:44, 28 January 2023 (→‎Research: Link to David Heath (probabilist)). The present address (URL) is a permanent link to this revision, which may differ significantly from the current revision.

Freddy Delbaen (November 21, 1946 in Duffel, Belgium) is a Belgian-Swiss mathematician and 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 besides financial mathematics also topics in 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 and remained 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[5] and the American Mathematical Society[6]. He is also a member of Academia Europaea.[7]

Research

Together with 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.[8] They 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 for general probability spaces.[11]

Publications (selection)

  • Delbaen, Freddy; Arztner, Philippe; Eber, Jean-Marc; Heath, David (1997). "Coherent Risk Measures". Mathematical finance. 3 (3): 203–228.
  • 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.
  • Freddy Delbaen (2002). "Coherent risk measures on general probability spaces". Advances in finance and stochastics. Springer: 1–37.
  • 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.
  • J. Bourgain; F. Delbaen (1980). "A class of special spaces". Acta Mathematica. 145: 155–176.
  • 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.
  • Delbaen, Freddy; Schachermayer, Walter (1995). "The existence of absolutely continuous local martingale measures". The Annals of Applied Probability. Institute of Mathematical Statistics: 926–945.

Books

  • with Walter Schachermayer: The Mathematics of Arbitrage. Springer Finance, 2005

Weblinks

References

  1. ^ a b c "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", mathgenealogy.org, Mathgenealogy, 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.
Retrieved from "https://en.wikipedia.org/w/index.php?title=Freddy_Delbaen&oldid=1136046193"