Freddy Delbaen
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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
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Books
- Monetary Utility Functions (2012). Finance and Insurance, Osaka University Lecture Notes Series. Template:ISBN
- with Walter Schachermayer: The Mathematics of Arbitrage (2005). Springer Finance
References
External links
- 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