Freddy Delbaen
#128,107
Most Influential Person Now
Belgian-Swiss financial mathematician and professor at ETH Zurich
Freddy Delbaen's AcademicInfluence.com Rankings
Freddy Delbaenbusiness Degrees
Business
#752
World Rank
#825
Historical Rank
Finance
#86
World Rank
#91
Historical Rank
Freddy Delbaenmathematics Degrees
Mathematics
#6360
World Rank
#8823
Historical Rank
Measure Theory
#1652
World Rank
#2036
Historical Rank
Download Badge
Business Mathematics
Why Is Freddy Delbaen Influential?
(Suggest an Edit or Addition)According to Wikipedia, Freddy Delbaen is a Belgian-Swiss mathematician. He is professor emeritus of financial mathematics at ETH Zurich. 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. He also introduced in a jointly written paper the notion of the risk measure.
Freddy Delbaen's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Coherent Measures of Risk (1999) (8555)
- A general version of the fundamental theorem of asset pricing (1994) (1943)
- Coherent Risk Measures on General Probability Spaces (2002) (807)
- The fundamental theorem of asset pricing for unbounded stochastic processes (1998) (603)
- The Mathematics of Arbitrage (2006) (543)
- Coherent multiperiod risk adjusted values and Bellman’s principle (2007) (455)
- Exponential Hedging and Entropic Penalties (2002) (419)
- Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2004) (362)
- Coherent risk measures (2000) (361)
- No-arbitrage, change of measure and conditional Esscher transforms (1996) (216)
- The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures (2006) (213)
- DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS (1995) (207)
- The variance-optimal martingale measure for continuous processes (1996) (203)
- The Existence of Absolutely Continuous Local Martingale Measures (1995) (1995) (165)
- Representation of the penalty term of dynamic concave utilities (2008) (162)
- The no-arbitrage property under a change of numéraire (1995) (158)
- Coherent and convex monetary risk measures for unbounded càdlàg processes (2004) (151)
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED (1992) (148)
- Arbitrage possibilities in Bessel processes and their relations to local martingales (1995) (147)
- Weighted norm inequalities and hedging in incomplete markets (1997) (128)
- Convergence of discretized stochastic (interest rate) processes with stochastic drift term (1998) (119)
- A Note on Option Pricing for the Constant Elasticity of Variance Model (2002) (118)
- A martingale approach to premium calculation principles in an arbitrage free market (1989) (113)
- A class of specialLα spaces (1980) (111)
- Classical risk theory in an economic environment (1987) (108)
- Backward SDEs with superquadratic growth (2009) (103)
- Monetary utility functions (2012) (101)
- On Esscher Transforms in Discrete Finance Models (1998) (96)
- On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case (2009) (95)
- No Arbitrage Condition for Positive Diffusion Price Processes (2002) (91)
- A Simple Counterexample to Several Problems in the Theory of Asset Pricing (1993) (90)
- COHERENT MULTIPERIOD RISK MEASUREMENT (2002) (90)
- On the extension of the Namioka-Klee theorem and on the Fatou property for Risk Measures (2009) (88)
- An Interest Rate Model with Upper and Lower Bounds (2002) (74)
- A compactness principle for bounded sequences of martingales with applications (1999) (73)
- Convex games and extreme points (1974) (70)
- Risk Measures and Efficient use of Capital 1 (2009) (67)
- Mod-φ Convergence (2015) (66)
- ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES (1994) (66)
- Risk measures with the CxLS property (2014) (61)
- Term structure of interest rates: The martingale approach (1989) (58)
- A Characterization of Measures of Risk (1997) (56)
- The Banach space of workable contingent claims in arbitrage theory (1997) (51)
- Coherent and convex risk measures for bounded cadlag processes (2003) (51)
- Hedging under Transaction Costs in Currency Markets: a Discrete‐Time Model (2002) (50)
- Harmonic analysis of stochastic equations and backward stochastic differential equations (2008) (49)
- The Laplace transform of annuities certain with exponential time distribution (1992) (49)
- Credit Risk and Prepayment Option (1992) (49)
- RISK MEASURES FOR NON‐INTEGRABLE RANDOM VARIABLES (2009) (47)
- Attainable claims with p'th moments (1996) (45)
- Non-Arbitrage and the Fundamental Theorem of Asset Pricing: Summary of Main Results (1997) (41)
- Probability and Finance: It's Only a Game! (2002) (41)
- On the law of one price (2004) (39)
- Weakly compact operators on the disc algebra (1977) (36)
- Risk Management: Coherent Measures of Risk (2002) (32)
- Optimal rules for the sequential selection of monotone subsequences of maximum expected length (2001) (31)
- A Remark on the Structure of Expectiles (2013) (30)
- Optimality and risk : modern trends in mathematical finance : the Kabanov festschrift (2009) (28)
- A remark on the moments of ruin time in classical risk theory (1990) (24)
- Convex functions on dual Orlicz spaces (2016) (24)
- Differentiability Properties of Utility Functions (2009) (23)
- A Central Limit Theorem for the Optimal Selection Process for Monotone Subsequences of Maximum Expected Length (2004) (22)
- Coherent and convex monetary risk measures for unbounded càdlàg processes (2005) (22)
- Estimation of the yield curve and the forward rate curve starting from a finite number of observations (1992) (22)
- Long-term returns in stochastic interest rate models: different convergence results (1993) (21)
- Subspaces of Lp Isometric to Subspaces of ℓp (1998) (18)
- PASSPORT OPTIONS (2002) (18)
- ‘Finem Lauda’ or the risks in swaps☆ (1990) (17)
- Applications to Mathematical Finance (2001) (16)
- A von Neumann–Morgenstern Representation Result without Weak Continuity Assumption (2010) (16)
- Limit theorems for the present value of the surplus of an insurance portfolio (1988) (15)
- Inversed martingales in risk theory (1985) (15)
- A note on the no arbitrage condition for international financial markets (1996) (14)
- Weighted Norm Inequalities and Closedness of a Space of Stochastic Integrals (1994) (14)
- Arbitrage Theory in Continuous Time: an Overview (2006) (13)
- Long-term returns in stochastic interest rate models: convergence in law (1995) (13)
- Martingales in Markov processes applied to risk theory (1986) (12)
- On convex functions on the duals of ∆2-Orlicz spaces (2017) (11)
- Forward-Backward Stochastic Differential Systems Associated to Navier-Stokes Equations in the Whole Space (2013) (10)
- Hedging bounded claims with bounded outcomes (2006) (10)
- Mod-$\phi$ convergence (2011) (9)
- Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions (2019) (8)
- Draft: Coherent Risk Measures (2001) (7)
- New bounds for Van der Waals coefficients (1979) (7)
- Remarks on the methodology introduced by Goovaerts et al (1992) (7)
- Continuity of the expected utility (1974) (7)
- On convex functions on the duals of $\Delta_2$-Orlicz spaces (2016) (6)
- Existence of Solutions of Stochastic Differential Equations related to the Bessel process (1998) (6)
- The Dunford-Pettis property for certain uniform algebras. (1976) (5)
- Stochastic Order-Monotone Uncertainty-Averse Preferences (2015) (5)
- An inequality for the predictable projection of an adapted process (1995) (5)
- Mod-$\phi $ convergence: Approximation of discrete measures and harmonic analysis on the torus (2015) (5)
- COHERENT RISK MEASURES ON GENERAL PROBABILITY (5)
- A remark on Slutsky's theorem (1998) (5)
- Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123 (2015) (5)
- Macro-economic influences on the crossing of dividend barriers (1988) (4)
- A dynamic reinsurance theory (1992) (4)
- The Pełczyński property for some uniform algebras (1979) (4)
- Mackey constraints for James's compactness theorem and risk measures (2020) (4)
- A Dunford-Pettis theorem for L1H∞⊥ (1977) (4)
- The Dalang-Morton-Willinger Theorem (2006) (4)
- Existence and Non-uniqueness of Solutions for BSDE (2010) (4)
- Optimizing the determinant of a positive definite matrix (1990) (3)
- A Von Neumann-Morgenstern Representation Result Without Weak Continuity Assumption (2010) (3)
- Stochastic Preferences and General Equilibrium Theory (1974) (3)
- Surplus Sharing with Coherent Utility Functions (2018) (2)
- Law of Large Numbers for Risk Measures (2021) (2)
- Representation theorems for extremal distributions (1984) (2)
- Risk Measures or Measures that Describe Risk ? (2003) (2)
- Monetary Utility Functions on $C_b(X)$ Spaces (2022) (2)
- Limit distributions for risk processes in case of claim amounts of finite expectation (1983) (2)
- Conditionally atomless extensions of sigma algebras (2020) (2)
- Weakly compact sets in H1 (1976) (1)
- The Laplace transform of annuities certain with random interest (1993) (1)
- The Kreps-Yan Theorem (2006) (1)
- Group cohesion under individual regulatory constraints (2020) (1)
- Navier-Stokes Equations and Forward-Backward Stochastic Differential Systems (2013) (1)
- Numerical representation of convex preferences over Anscombe – Aumann acts ∗ (2015) (1)
- Variational Risk Measures (2007) (1)
- On a class of law invariant convex risk measures (2011) (1)
- On risk processes with the Markov property and with independent increments (1983) (1)
- Remembering Jean Bourgain (1954–2018) (2021) (1)
- The Fundamental Theorem of Asset Pricingfor Unbounded Stochastic Processes (1998) (2006) (1)
- Weakly compact sets in $L^1/H^1_0$ (1978) (1)
- BSDE and Risk Measures (2011) (1)
- Fairness principles for insurance contracts in the presence of default risk (2020) (1)
- Risk measures with the CxLS property (2015) (1)
- Weighted Markov Processes with an Application to Risk Theory (1984) (1)
- Convex increasing functionals on $C_b(X)$ spaces (2022) (1)
- Separation of Risk Parameters (1984) (1)
- Infinitesimal behaviour of a continuous local martingale (1992) (1)
- On the range of the subdifferential in non reflexive Banach spaces (2021) (1)
- Laurent SCHWARTZ, Geometry and probability in banach spaces. Notes by P.R. Chernoff. lecture notes in mathematics, vol 852. Springer-Verlag, Berlin (1981). X + 101 pages, soft cover DM 18. (1982) (0)
- Haezendonck,Jean - in Memoriam (1990) (0)
- Bachelier and Black-Scholes (2006) (0)
- Commonotonicity and $L^1$ Random Variables (2019) (0)
- Models of Financial Markets on Finite Probability Spaces (2006) (0)
- Predictable projections of conformal stochastic integrals: an application to Hermite series and to Widder's representation (2011) (0)
- Utility Maximisation on Finite Probability Spaces (2006) (0)
- Financial Institutions Center Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think (1999) (0)
- Mini-Workshop: Mathematics of Solvency (2008) (0)
- Application of Martingales in Risk Theory (1986) (0)
- Remark on the Paper “Entropic Value-at-Risk: A New Coherent Risk Measure” by Amir Ahmadi-Javid, J. Optim. Theory Appl., 155(3) (2001) 1105–1123 (2019) (0)
- Precise Limit Theorems for Lacunary Series (2018) (0)
- Approximation with independent Variables (2022) (0)
- A COMPACTNESS PRINCIPLE FOR BOUNDEDSEQUENCES OF MARTINGALES WITH APPLICATIONSF (1996) (0)
- A multiset version of James's theorem (2022) (0)
- Monetary Utility Functions with Convex Level Sets (2014) (0)
- Weakly compact sets in L1/H10 (2021) (0)
- Convex functions on dual Orlicz spaces (2019) (0)
- The Mathematics of Arbitrage - Preamble (2017) (0)
- The Story in a Nutshell (2006) (0)
- A note on selections (1969) (0)
- D. VAN DULST. Reflexive and superreflexive banach spaces, Mathematisch Centrum, Amsterdam (1978). Mathematical Centre Tracts n°102. V + 273 pages. 23,00 fl. (1982) (0)
- No . 96-01 An Interest Rate Model with Upper and Lower Bounds (2003) (0)
- a Free Lunch ? (2004) (0)
- Editorial (2004) (0)
- A Primer in Stochastic Integration (2006) (0)
- Limit Theorems for Risk Processes (1984) (0)
- An addendum to a remark on Slutsky's theorem (1999) (0)
- Optimal consumption and investment with power utility (2010) (0)
This paper list is powered by the following services:
Other Resources About Freddy Delbaen
What Schools Are Affiliated With Freddy Delbaen?
Freddy Delbaen is affiliated with the following schools:
