Freddy Delbaen

Freddy Delbaen
Born	(1946-11-21) 21 November 1946 (age 76) Duffel, Belgium
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

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 ${\displaystyle L^{\infty }}$ 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

External links

• Homepage at ETH Zurich

This page was last edited on 13 August 2023, at 12:08