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]
Freddy Delbaen | |
|---|---|
 | |
| Born | 21 November 1946 |
| Occupation | Financial mathematician |
| Academic background | |
| Alma mater | Vrije Universiteit Brussel |
| Doctoral advisor | Lucien Waelbroeck |
| Academic work | |
| Institutions | Free University of Brussels University of Antwerp ETH Zurich |
| Doctoral students | Jean Bourgain |
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
editDelbaen 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
editTogether 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.