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.
^"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.
FreddyDelbaen (born 21 November 1946 in Duffel, Belgium) is a Belgian-Swiss mathematician. He is professor emeritus of financial mathematics at ETH Zurich...
Lawrence York (2009), Best Practices in Governance Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David (1999). "Coherent Measures of Risk"...
portfolios and extreme risk management, Best of Wilmott, 2003 "Coherent measures of Risk", Philippe Artzner, FreddyDelbaen, Jean-Marc Eber, and David Heath...
Costello Marianna Csörnyei E.N. Dancer Camillo De Lellis Manuel del Pino FreddyDelbaen Frank den Hollander Nils Dencker Irit Dinur Cynthia Dwork Manfred Einsiedler...
(link) Delbaen, Freddy; Schachermayer, Walter (2006). The mathematics of arbitrage. Vol. 13. Birkhäuser. ISBN 978-3-540-21992-7. Delbaen, Freddy; Schachermayer...
CAPM and Options Valuation Archived 2016-03-30 at the Wayback Machine FreddyDelbaen and Walter Schachermayer. (2004). "What is... a Free Lunch?" Archived...
6750, doi:10.1016/j.spa.2015.03.009, S2CID 15900488 Bruss, F. Thomas; Delbaen, Freddy (2001), "Optimal rules for the sequential selection of monotone subsequences...
{\displaystyle u(X)} is the exponential utility function. Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David (1999). "Coherent Measures of Risk"...
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