Prof. Dr. Freddy Delbaen
Address:
Department of Mathematics
ETH-Zentrum, HG
CH-8092 Zürich
Switzerland
Curriculum Vitae
Selected Papers and Preprints
- Freddy Delbaen:
PISA Lecture Notes
DVI (128 kB),
PDF (476 kB),
Postscript (1.2 MB)
- Freddy Delbaen:
Osaka University Lecture Notes
PDF (878 kB),
- Freddy Delbaen:
Extended Osaka University Lecture Notes, in preparation, incomplete chapters
PDF (1123 kB),
- Freddy Delbaen:
Conditionally Atomless Extensions
PDF (307 kB)
- Freddy Delbaen:
Commonotonicity and Time Consistency
PDF (409 kB)
- Freddy Delbaen:
Law of Large Numbers for Risk Measures
PDF (248 kB)
- Freddy Delbaen, José Orihuela:
MACKEY CONSTRAINTS FOR JAMESÕS COMPACTNESS THEOREM AND RISK MEASURES
PDF (360 kB)
- Freddy Delbaen, José Orihuela:
ON THE RANGE OF THE SUBDIFFERENTIAL IN NON REFLEXIVE BANACH SPACES
PDF (331 kB)
- Delia Coculescu, Freddy Delbaen:
Fairness Principles for Insurance Contracts in the Presence of Default Risk
PDF (416 kB)
- Delia Coculescu, Freddy Delbaen:
Group Cohesion under Individual Regulatory Constraints
PDF (345 kB)
- Freddy Delbaen, Emma Hovhannisyan:
Local Limit Theorems for Orthonormal Systems
PDF (444 kB)
- Radu Chhaibi, Freddy Delbaen, Pierre-Loïc Méliot, Ashkan Nikeghbali:
Mod-$\phi$ Convergence: Approximation of Discrete Measures and Harmonic Analysis on the Torus
PDF (917 kB)
- Freddy Delbaen, Emmanuel Kowalski, Ashkan Nikeghbali:
Mod $-phi$ Convergence
PDF (429 kB)
- Freddy Delbaen, Keita Owari:
On convex functions on the duals of $Delta_2$-Orlicz spaces
PDF (201 kB)
- Freddy Delbaen, Samuel Drapeau, Michael Kupper:
A von Neumann Morgenstern Representation Result without Weak Continuity Assumption
PDF (338 kB)
- Fabio Bellini, Valeria Bignozzi, Freddy Delbaen, Johanna F. Ziegel:
Risk Measures with Convex Level Sets
PDF (321 kB)
- Freddy Delbaen:
REMARK ON THE PAPER: ENTROPIC VALUE-AT-RISK: A NEW COHERENT RISK MEASURE, BY AMIR AHMADI-JAVID, J. OPT.
THEORY AND APPL., 155 (2001),1105Ð1123
PDF (546 kB)
- Freddy Delbaen, Jinniao Qiu, Shanjian Tang:
Navier-Stokes Equations and FBSDE
PDF (546 kB)
- Freddy Delbaen, Ying Hu, Adrien Richou:
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
PDF (204 kB)
- Freddy Delbaen, Ying Hu, Adrien Richou:
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
PDF (254 kB)
- Freddy Delbaen, Ying Hu, Xiabo Bao:
Backward SDEs with Superquadratic Growth
PDF (329 kB)
- Gilles Angelsberg, Freddy Delbaen, Ivo Kaelin, Michael Kupper, Joachim Näf:
On a Class of Law Invariant Convex Risk Measures
PDF (213 kB)
- Freddy Delbaen, Emanuela Rosazza Gianin, Shige Peng:
Representation of the penalty term of dynamic concave utilities
PDF (605 kB)
- Freddy Delbaen:
RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
PDF (390 kB)
- Freddy Delbaen:
THE L(u) SPACE FOR A MONETARY UTILITY FUNCTION u
PDF (204 kB)
- Freddy Delbaen:
Differentiability Properties of Utility Functions
PDF (470 kB)
- Freddy Delbaen:
Hedging bounded claims with bounded outcomes
DVI (52 kB),
PDF (488 kB),
Postscript (11.2 MB)
- Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath and Hyejin Ku:
COHERENT MULTIPERIOD RISK ADJUSTED VALUES AND BELLMAN'S PRINCIPLE
DVI (72 kB),
PDF (461 kB),
Postscript (1.2 MB)
- Jean-Michel Courtault, Freddy Delbaen, Yuri Kabanov and Christophe Stricker:
On the Law of One Price
DVI (26 kB),
PDF (271 kB),
Postscript (1049 kB)
- Freddy Delbaen and Hiroshi Shirakawa:
An Interest Rate Model with Upper and Lower Bounds
DVI (83 kB),
PDF (4768 kB),
Postscript (1.3 MB)
- Freddy Delbaen and Hiroshi Shirakawa:
A Note of Option Pricing for Constant Elasticity of Variance Model
DVI (63 kB),
PDF (4248 kB),
Postscript (1.2 MB)
- Patrick Cheridito, Freddy Delbaen, Michael Kupper:
Coherent and convex risk measures for bounded c\`adl\`ag processes
DVI (90 kB),
PDF (483 kB),
Postscript (1272 kB)
- Freddy Delbaen:
The structure of m-stable sets and in particular of the set of riskneutral measures
DVI (163 kB),
PDF (662 kB),
Postscript (1697 kB)
- Thomas Bruss, Freddy Delbaen:
A CENTRAL LIMIT THEOREM FOR THE OPTIMAL SELECTION PROCESS FOR MONOTONE SUBSEQUENCES OF MAXIMUM EXPECTED LENGTH.
DVI (36 kB),
PDF (160 kB),
Postscript (140 kB)
- Freddy Delbaen:
Risk Measures or Measures that Describe Risk?
DVI (36 kB),
PDF (160 kB),
Postscript (140 kB)
- Philippe Artzner, Freddy Delbaen, Jean Marc Eber, David Heath and Hyejin Ku:
COHERENT MULTIPERIOD RISK ADJUSTED VALUES AND BELLMANÕS PRINCIPLE
DVI (36 kB),
PDF (160 kB),
Postscript (140 kB)
- Philippe Artzner, Freddy Delbaen, Jean Marc Eber, David Heath and Hyejin Ku:
Coherent Multiperiod Risk Measurement
DVI (36 kB),
PDF (160 kB),
Postscript (140 kB)
- Philippe Artzner, Freddy Delbaen, Jean Marc Eber and David Heath:
Multiperiod Risk and Coherent Multiperiod Risk Measurement
DVI (36 kB),
PDF (160 kB),
Postscript (140 kB)
- Freddy Delbaen and Hiroshi Shirakawa:
No Arbitrage Condition for Positive Diffusion Price Processes
DVI (36 kB),
PDF (408 kB),
Postscript (1 MB)
- Freddy Delbaen and Marc Yor:
Passport Options
DVI (147 kB),
PDF (312 kB),
Compressed Postscript (303 kB),
Postscript (1215 kB)
- F. Thomas Bruss and Freddy Delbaen:
New Results on Optimal Rules for
Selecting Monotone Subsequences of Maximal Length
DVI (105 kB),
PDF (235 kB),
Compressed Postscript (187 kB),
Postscript (777 kB)
- Freddy Delbaen:
Coherent Risk Measures on General Probability Spaces
DVI (141 kB),
PDF (296 kB),
Compressed Postscript (278 kB),
Postscript (1031 kB)
- Philippe Artzner, Freddy Delbaen, Jean-Marc Eber and
David Heath:
Coherent Measures of Risk,
Math. Finance 9 (1999), no. 3, 203-228
DVI (110 kB),
PDF (250 kB),
Compressed Postscript (250 kB),
Postscript (690 kB)
- Hans Bühlmann, Freddy Delbaen, Paul Embrechts and
Albert N. Shiryaev:
No-Arbitrage, Change of Measure and Conditional Esscher Transforms,
CWI Quarterly 9 (1996), no. 4, 291-317
DVI (93 kB),
PDF (215 kB),
Compressed Postscript (206 kB),
Postscript (636 kB)
- Hans Bühlmann, Freddy Delbaen, Paul Embrechts and
Albert N. Shiryaev:
On Esscher Transforms in Discrete Finance Models
DVI (55 kB),
PDF (168 kB),
Compressed Postscript (182 kB),
Postscript (492 kB)
- F. Delbaen, H. Jarchow and A. Pelczynski:
Subspaces of Lp
Isometric to Subspaces of lp,
Positivity 2 (1998), no. 4, 339-367
DVI (123 kB),
PDF (277 kB),
Compressed Postscript (256 kB),
Postscript (846 kB)
- F. Delbaen and W. Schachermayer:
The Existence of Absolutely Continuous
Local Martingale Measures,
Ann. Appl. Probab. 5 (1995), no. 4, 926-945
DVI (87 kB),
PDF (234 kB),
Compressed Postscript (431 kB),
Postscript (1025 kB)
- F. Delbaen and W. Schachermayer:
Arbitrage Possibilities in Bessel Processes
and their Relations to Local Martingales,
Probab. Theory Related Fields 102 (1995), no. 3, 357-366
DVI (41 kB),
PDF (147 kB),
Compressed Postscript (167 kB),
Postscript (407 kB)
- F. Delbaen and W. Schachermayer:
The No-Arbitrage Property under a Change
of Numéraire,
Stochastics Stochastics Rep. 53 (1995), no. 3-4, 213-226
DVI (57 kB),
PDF (172 kB),
Compressed Postscript (184 kB),
Postscript (481 kB)
- F. Delbaen, P. Monat, W. Schachermayer,
M. Schweizer and C. Stricker:
Weighted Norm Inequalities and Closedness of a Space
of Stochastic Integrals
DVI (192 kB),
PDF (353 kB),
Compressed Postscript (287 kB),
Postscript (1039 kB)
- F. Delbaen, P. Monat, W. Schachermayer,
M. Schweizer et C. Stricker:
Inégalités de normes avec poids et fermeture d'un
espace d'intégrales stochastiques,
C. R. Acad. Sci. Paris Sªr. I Math. 319 (1994),
no. 10, 1079-1081
DVI (19 kB),
PDF (77 kB),
Compressed Postscript (96 kB),
Postscript (234 kB)
- F. Delbaen and W. Schachermayer:
A Compactness Principle for Bounded Sequences of
Martingales with Applications
DVI (165 kB),
PDF (362 kB),
Compressed Postscript (325 kB),
Postscript (1090 kB)
- F. Delbaen and W. Schachermayer:
The Banach Space of Workable Contingent Claims
in Arbitrage Theory,
Ann. Inst. H. Poincaré Probab. Statist. 33 (1997),
no. 1, 113-144
DVI (123 kB),
PDF (287 kB),
Compressed Postscript (265 kB),
Postscript (832 kB)
- F. Delbaen:
A Remark on Slutsky's Theorem,
Séminaire de Probabilités, XXXII, 313-315,
Lecture Notes in Math., 1686, Springer, Berlin, 1998
DVI (20 kB),
PDF (110 kB),
Compressed Postscript (137 kB),
Postscript (353 kB)
- F. Delbaen and W. Schachermayer:
A Simple Counter-Example to Several Problems
in the Theory of Asset Pricing,
Math. Finance 8 (1998), no. 1, 1-11
DVI (48 kB),
PDF (170 kB),
Compressed Postscript (187 kB),
Postscript (488 kB)
- F. Delbaen and W. Schachermayer:
The Fundamental Theorem of Asset Pricing
for Unbounded Stochastic Processes
DVI (158 kB),
PDF (355 kB),
Compressed Postscript (324 kB),
Postscript (1039 kB)
- F. Delbaen and H. Shirakawa:
A Note on the No Arbitrage Condition
for International Financial Markets
DVI (49 kB),
PDF (152 kB),
Compressed Postscript (168 kB),
Postscript (443 kB)
- F. Delbaen and W. Schachermayer:
Non-Arbitrage and the Fundamental Theorem of Asset
Pricing: Summary of Main Results
DVI (46 kB),
PDF (167 kB),
Compressed Postscript (185 kB),
Postscript (462 kB)
- F. Delbaen and W. Schachermayer:
Attainable Claims with p'th Moments,
Ann. Inst. H. Poincaré Probab. Statist. 32 (1996),
no. 6, 743-763
DVI (75 kB),
PDF (223 kB),
Compressed Postscript (225 kB),
Postscript (650 kB)
- F. Delbaen and W. Schachermayer:
An Inequality for the Predictable Projection
of an Adapted Process,
Séminaire de Probabilités, XXIX, 17-24,
Lecture Notes in Math., 1613, Springer, Berlin, 1995
DVI (31 kB),
PDF (136 kB),
Compressed Postscript (174 kB),
Postscript (470 kB)
- F. Delbaen and W. Schachermayer:
The Variance-Optimal Martingale Measure for
Continuous Processes,
Bernoulli 2 (1996), no. 1, 81-105
DVI (112 kB),
PDF (276 kB),
Compressed Postscript (264 kB),
Postscript (809 kB)
- G. Deelstra and F. Delbaen:
Long-term returns in stochastic interest rate models:
Convergence in law,
Stochastics Stochastics Rep. 55 (1995), no. 3-4, 253-277
DVI (115 kB),
PDF (241 kB),
Compressed Postscript (221 kB),
Postscript (727 kB)
- G. Deelstra and F. Delbaen:
Convergence of Discretized Stochastic (Interest Rate) Processes
with Stochastic Drift Term,
Appl. Stochastic Models Data Anal. 14 (1998), no. 1, 77-84
DVI (39 kB),
PDF (127 kB),
Compressed Postscript (140 kB),
Postscript (372 kB)
- G. Deelstra and F. Delbaen:
Existence of Solutions of Stochastic Differential
Equations Related to the Bessel Process
DVI (40 kB),
PDF (139 kB),
Compressed Postscript (149 kB),
Postscript (488 kB)