×
Author ID: delbaen.freddy Recent zbMATH articles by "Delbaen, Freddy"
Published as: Delbaen, Freddy; Delbaen, F.; Delbaen, Fred
Homepage: https://people.math.ethz.ch/~delbaen/
all top 5

Co-Authors

34 single-authored
18 Schachermayer, Walter
16 Haezendonck, Jean
7 Artzner, Philippe
6 Deelstra, Griselda
6 Kupper, Michael
5 Stricker, Christophe
4 Cheridito, Patrick
4 Eber, Jean-Marc
4 Embrechts, Paul
4 Heath, David C.
4 Hu, Ying
4 Shirakawa, Hiroshi
3 Orihuela, José
3 Schweizer, Martin
2 Bao, Xiaobo
2 Boogaert, P.
2 Bourgain, Jean
2 Bruss, Franz Thomas
2 Bühlmann, Hans
2 Coculescu, Delia
2 Dempster, Michael A. H.
2 Jansen, Karel
2 Kabanov, Yuriĭ Mikhaĭlovich
2 McNeil, Alexander J.
2 Monat, Pascale
2 Nikeghbali, Ashkan
2 Richou, Adrien
2 Shiryaev, Al’bert Nikolaevich
2 Straumann, Daniel
2 Tang, Shanjian
1 Angelsberg, Gilles
1 Bellini, Fabio
1 Bignozzi, Valeria
1 Casserini, Matteo
1 Chhaïbi, Réda
1 Cnop, Ivan
1 Courtault, Jean-Michel
1 Daubechies, Ingrid Chantal
1 De Schepper, Ann
1 de Vylder, Florent Etienne
1 De Waegenaere, Anja
1 Drapeau, Samuel
1 Eisele, Karl-Theodor
1 Goovaerts, Marc J.
1 Grandits, Peter
1 Guth, Lawrence David
1 Hipp, Christian
1 Hovhannisyan, Emma
1 Janicka, Liliana
1 Jarchow, Hans
1 Jitomirskaya, Svetlana Yakovlevna
1 Kaelin, Ivo
1 Koch Medina, Pablo
1 Kontorovich, Alex V.
1 Kowalski, Emmanuel
1 Ku, Hyejin
1 Lindenstrauss, Elon
1 Majumdar, Chitro
1 Méliot, Pierre-Loïc
1 Milman, Vitali D.
1 Näf, Joachim
1 Owari, Keita
1 Pełczyński, Aleksander
1 Peng, Shige
1 Pisier, Gilles
1 Qiu, Jinniao
1 Rásonyi, Miklós
1 Rheinländer, Thorsten
1 Rosazza Gianin, Emanuela
1 Rudnick, Zeév
1 Samperi, Dominick
1 Sarnak, Peter Clive
1 Schlag, Wilhelm
1 Staffilani, Gigliola
1 Tao, Terence
1 Valkeila, Esko
1 Varjú, Péter Pál
1 Vergison, E.
1 Yor, Marc
1 Ziegel, Johanna F.
all top 5

Serials

14 Insurance Mathematics & Economics
11 Mathematical Finance
8 Finance and Stochastics
4 Bulletin de la Société Matheḿatique de Belgique. Série B
4 Stochastic Processes and their Applications
3 Journal of Functional Analysis
3 Probability Theory and Related Fields
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Asia-Pacific Financial Markets
2 Journal of Mathematical Analysis and Applications
2 Studia Mathematica
2 Mathematische Annalen
2 Pacific Journal of Mathematics
2 Applied Stochastic Models and Data Analysis
2 Bulletin de la Classe des Sciences. 5e Série
2 Notices of the American Mathematical Society
2 Stochastics and Stochastics Reports
2 Electronic Journal of Probability
2 Positivity
2 ASTIN Bulletin
2 Bulletin de la Société Mathématique de Belgique
1 Acta Mathematica
1 Annales de l’Institut Fourier
1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
1 Journal of Algebra
1 Journal of Mathematical Economics
1 Scandinavian Actuarial Journal
1 Simon Stevin
1 CWI Quarterly
1 Annals of Operations Research
1 The Annals of Applied Probability
1 IMRN. International Mathematics Research Notices
1 Atti della Accademia Nazionale dei Lincei. Serie Ottava. Rendiconti. Classe di Scienze Fisiche, Matematiche e Naturali
1 Bulletin de la Société Mathématique de Belgique. Série A
1 Comptes Rendus de l’Académie des Sciences. Série I
1 Bernoulli
1 Discrete and Continuous Dynamical Systems
1 Scandinavian Actuarial Journal
1 Oberwolfach Reports
1 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A
1 Financial Engineering and the Japanese Markets
1 Springer Finance
1 Frontiers of Mathematical Finance

Publications by Year

Citations contained in zbMATH Open

103 Publications have been cited 5,428 times in 3,794 Documents Cited by Year
Coherent measures of risk. Zbl 0980.91042
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David
1999
A general version of the fundamental theorem of asset pricing. Zbl 0865.90014
Delbaen, Freddy; Schachermayer, Walter
620
1994
Coherent risk measures on general probability spaces. Zbl 1020.91032
Delbaen, Freddy
220
2002
The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048
Delbaen, F.; Schachermayer, W.
206
1998
The mathematics of arbitrage. Zbl 1106.91031
Delbaen, Freddy; Schachermayer, Walter
204
2006
Coherent multiperiod risk adjusted values and Bellman’s principle. Zbl 1132.91484
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David; Ku, Hyejin
178
2007
Exponential hedging and entropic penalties. Zbl 1072.91019
Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe
153
2002
Dynamic monetary risk measures for bounded discrete-time processes. Zbl 1184.91109
Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael
139
2006
Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025
Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela
79
2010
A class of special \(L_\infty\) spaces. Zbl 0466.46024
Bourgain, J.; Delbaen, F.
75
1980
The structure of \(m\)-stable sets and in particular of the set of risk neutral measures. Zbl 1121.60043
Delbaen, Freddy
70
2006
The variance-optimal martingale measure for continuous processes. Zbl 0849.60042
Delbaen, Freddy; Schachermayer, Walter
69
1996
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
57
1995
No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037
Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N.
56
1996
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions. Zbl 1225.60093
Delbaen, Freddy; Hu, Ying; Richou, Adrien
52
2011
Convergence of discretized stochastic (interest rate) processes with stochastic drift term. Zbl 0915.60064
Deelstra, G.; Delbaen, F.
51
1998
Classical risk theory in an economic environment. Zbl 0622.62098
Delbaen, F.; Haezendonck, J.
50
1987
Backward SDEs with superquadratic growth. Zbl 1253.60072
Delbaen, Freddy; Hu, Ying; Bao, Xiaobo
50
2011
Coherent and convex monetary risk measures for bounded càdlàg processes. Zbl 1114.91047
Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael
47
2004
Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008
Delbaen, F.; Schachermayer, W.
47
1995
Default risk insurance and incomplete markets. Zbl 0866.90047
Artzner, Philippe; Delbaen, Freddy
46
1995
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
44
1997
Coherent risk measures. Zbl 1060.91077
Delbaen, Freddy
40
2000
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
40
1995
No arbitrage condition for positive diffusion price processes. Zbl 1074.91014
Delbaen, Freddy; Shirakawa, Hiroshi
39
2002
A note on option pricing for the constant elasticity of variance model. Zbl 1072.91020
Delbaen, Freddy; Shirakawa, Hiroshi
39
2002
Risk management: Value at risk and beyond. Zbl 1035.91036
38
2002
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
36
1998
Convex games and extreme points. Zbl 0337.90084
Delbaen, Freddy
36
1974
Representing martingale measures when asset prices are continuous and bounded. Zbl 0900.90101
Delbaen, Freddy
32
1992
An interest rate model with upper and lower bounds. Zbl 1071.91020
Delbaen, Freddy; Shirakawa, Hiroshi
32
2002
Coherent and convex monetary risk measures for unbounded càdlàg processes. Zbl 1092.91039
Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael
30
2004
Risk measures with the CxLS property. Zbl 1376.91173
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; Ziegel, Johanna F.
30
2016
The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008
Delbaen, Freddy; Schachermayer, Walter
29
1997
Risk measures and efficient use of capital. Zbl 1203.91110
Artzner, Philippe; Delbaen, Freddy; Koch-Medina, Pablo
29
2009
A martingale approach to premium calculation principles in an arbitrage free market. Zbl 0724.62102
Delbaen, F.; Haezendonck, J.
28
1989
Harmonic analysis of stochastic equations and backward stochastic differential equations. Zbl 1210.60060
Delbaen, Freddy; Tang, Shanjian
27
2010
A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038
Delbaen, Freddy; Schachermayer, Walter
24
1998
The Laplace transform of annuities certain with exponential time distribution. Zbl 0784.62091
de Schepper, A.; Goovaerts, M.; Delbaen, F.
23
1992
A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024
Delbaen, F.; Schachermayer, W.
23
1999
Coherent risk measures. Zbl 1320.91066
Delbaen, Freddy
22
2000
Mod-\(\varphi\) convergence. Zbl 1319.60040
Delbaen, Freddy; Kowalski, Emmanuel; Nikeghbali, Ashkan
21
2015
Risk measures for non-integrable random variables. Zbl 1168.91461
Delbaen, Freddy
19
2009
Optimal rules for the sequential selection of monotone subsequences of maximum expected length. Zbl 1005.60056
Bruss, F. Thomas; Delbaen, Freddy
18
2001
Arbitrage and free lunch with bounded risk for unbounded continuous processes. Zbl 0884.90024
Delbaen, Freddy; Schachermayer, Walter
18
1994
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case. Zbl 1335.60099
Richou, Adrien; Hu, Ying; Delbaen, Freddy
15
2015
Erratum: Coherent and convex risk measures for unbounded càdlàg processes. Zbl 1124.91039
Cheredito, Patrick; Delbaen, Freddy; Kupper, Michael
14
2006
Differentiability properties of utility functions. Zbl 1187.91095
Delbaen, Freddy
14
2009
Long-term returns in stochastic interest rate models. Zbl 0847.62082
Deelstra, G.; Delbaen, F.
14
1995
Hedging under transaction costs in currency markets: A discrete-time model. Zbl 1008.91046
Delbaen, Freddy; Kabanov, Yuri M.; Valkeila, Esko
14
2002
A central limit theorem for the optimal selection process for monotone subsequences of maximum expected length. Zbl 1071.60021
Bruss, F. Thomas; Delbaen, Freddy
14
2004
A remark on the moments of ruin time in classical risk theory. Zbl 0733.62108
Delbaen, Freddy
13
1990
Consols in the CIR model. Zbl 0884.90023
Delbaen, Freddy
13
1993
Weakly compact operators on the disc algebra. Zbl 0361.46048
Delbaen, F.
13
1977
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Zbl 1470.91108
Delbaen, Freddy
12
2021
Convex functions on dual Orlicz spaces. Zbl 1439.46023
Delbaen, Freddy; Owari, Keita
12
2019
Limit theorems for the present value of the surplus of an insurance portfolio. Zbl 0683.62059
Boogaert, P.; Haezendonck, J.; Delbaen, F.
10
1988
Passport options. Zbl 1048.91063
Delbaen, Freddy; Yor, Marc
10
2002
Attainable claims with \(p\)’th moments. Zbl 0869.90005
Delbaen, F.; Schachermayer, W.
9
1996
Subspaces of \(L_p\) isometric to subspaces of \(\ell_p\). Zbl 0934.46008
Delbaen, F.; Jarchow, H.; Pełczyński, A.
9
1998
Applications to mathematical finance. Zbl 1013.46062
Delbaen, Freddy; Schachermayer, Walter
8
2001
Martingales in Markov processes applied to risk theory. Zbl 0629.62100
Delbaen, F.; Haezendonck, J.
7
1986
An inequality for the predictable projection of an adapted process. Zbl 0831.60031
Delbaen, F.; Schachermayer, W.
7
1995
Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004
Delbaen, Freddy; Schachermayer, Walter
6
2000
What is …a free lunch? Zbl 1091.91045
Delbaen, Freddy; Schachermayer, Walter
6
2004
‘Finem Lauda’ or the risks in swaps. Zbl 0714.62097
Artzner, Philippe; Delbaen, Freddy
6
1990
Inversed martingales in risk theory. Zbl 0571.62093
Delbaen, F.; Haezendonck, J.
6
1985
Mackey constraints for James’s compactness theorem and risk measures. Zbl 1433.91051
Delbaen, Freddy; Orihuela, José
6
2020
Long-term returns in stochastic interest rate models: Convergence in law. Zbl 0886.60073
Deelstra, G.; Delbaen, F.
5
1995
Long-term returns in stochastic interest rate models: different convergence results. Zbl 0914.60021
Deelstra, Griselda; Delbaen, Fred
5
1997
Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space. Zbl 1323.35010
Delbaen, Freddy; Qiu, Jinniao; Tang, Shanjian
5
2015
Remarks on the methodology introduced by Goovaerts et al. Zbl 0768.62096
Deelstra, G.; Delbaen, F.
4
1992
Macro-economic influences on the crossing of dividend barriers. Zbl 0668.62073
Boogaert, P.; Delbaen, F.; Haezendonck, J.
4
1988
A Dunford-Pettis theorem for \(L^1/H^{\infty\perp}\). Zbl 0349.46047
Cnop, I.; Delbaen, F.
4
1977
Long-term returns in stochastic interest rate models. Zbl 0827.90006
Deelstra, G.; Delbaen, F.
4
1995
Weighted norm inequalities and closedness of a space of stochastic integrals. (Inégalités de normes avec poids et fermeture d’un espace d’intégrales stochastiques.) Zbl 0810.60047
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
3
1994
On the law of one price. Zbl 1064.60084
Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; Stricker, Christophe
3
2004
Hedging bounded claims with bounded outcomes. Zbl 1194.91084
Delbaen, Freddy
3
2006
On the range of the subdifferential in non reflexive Banach spaces. Zbl 1471.46012
Delbaen, Freddy; Orihuela, José
3
2021
A von Neumann-Morgenstern representation result without weak continuity assumption. Zbl 1241.91049
Delbaen, Freddy; Drapeau, Samuel; Kupper, Michael
3
2011
A note on the no arbitrage condition for international financial markets. Zbl 1153.91483
Delbaen, Freddy; Shirakawa, Hiroshi
3
1994
Automatic continuity of linear mappings on \(H^ \infty\). Zbl 0519.46055
Delbaen, F.
2
1982
A dynamic reinsurance theory. Zbl 0765.62096
De Waegenaere, A.; Delbaen, F.
2
1992
Representation theorems for extremal distributions. Zbl 0546.60018
Haezendonck, J.; de Vylder, F.; Delbaen, F.
2
1984
Caractérisation de la tribu des événements antérieurs a un temps d’arrêt pour un processus stochastique. (Characterization of the field of preceding events by a stopping time for a stochastic process.). Zbl 0232.60032
Haezendonck, J.; Delbaen, F.
2
1970
Existence and non-uniqueness of solutions for BSDE. Zbl 1218.60046
Bao, Xiaobo; Delbaen, Freddy; Hu, Ying
2
2010
The Dunford-Pettis property for certain uniform algebras. Zbl 0336.46020
Delbaen, F.
2
1976
On risk processes with the Markov property and with independent increments. Zbl 0522.62085
Delbaen, F.; Haezendonck, J.
1
1983
The Pelczynski property for some uniform algebras. Zbl 0405.46041
Delbaen, F.
1
1979
Separation of risk parameters. Zbl 0598.62140
Delbaen, F.
1
1984
Semi imbeddings and Radon-Nikodým spaces. Zbl 0582.46021
Delbaen, F.
1
1984
An addendum to “A remark on Slutsky’s theorem”. Zbl 0952.60006
Delbaen, Freddy
1
1999
A remark on Slutsky’s theorem. Zbl 0915.60004
Delbaen, Freddy
1
1998
Sur le générateur infinitesimal du produit tensoriel de deux semi-groupes fortement continus d’opérateurs sur un espace de Banach. Zbl 0191.13501
Delbaen, F.; Haezendonck, J.
1
1970
Produit tensoriel de semi-groupes et application à la théorie des processus stochastiques. (Tensor product of semigroups and application to the theory of stochastic processes.). Zbl 0235.46100
Delbaen, Freddy; Haezendonck, Jean
1
1970
Quotient maps onto \(c(K)\). Zbl 0427.46011
Bourgain, J.; Delbaen, F.
1
1978
A note on selections. Zbl 0193.43103
Delbaen, F.; Vergison, E.
1
1969
Optimality and risk – modern trends in mathematical finance. The Kabanov Festschrift. Zbl 1179.91005
1
2009
The second dual of a \(L_\infty\) space. Zbl 0268.46014
Delbaen, F.
1
1972
Weakly compact sets in \(H^1\). Zbl 0339.46038
Delbaen, Freddy
1
1976
Approximation with independent variables. Zbl 07716477
Delbaen, Freddy; Majumdar, Chitro
1
2023
Group cohesion under individual regulatory constraints. Zbl 1492.91283
Coculescu, Delia; Delbaen, Freddy
1
2022
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions. Zbl 1470.91108
Delbaen, Freddy
12
2021
On the range of the subdifferential in non reflexive Banach spaces. Zbl 1471.46012
Delbaen, Freddy; Orihuela, José
3
2021
Mackey constraints for James’s compactness theorem and risk measures. Zbl 1433.91051
Delbaen, Freddy; Orihuela, José
6
2020
Convex functions on dual Orlicz spaces. Zbl 1439.46023
Delbaen, Freddy; Owari, Keita
12
2019
Risk measures with the CxLS property. Zbl 1376.91173
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; Ziegel, Johanna F.
30
2016
Mod-\(\varphi\) convergence. Zbl 1319.60040
Delbaen, Freddy; Kowalski, Emmanuel; Nikeghbali, Ashkan
21
2015
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case. Zbl 1335.60099
Richou, Adrien; Hu, Ying; Delbaen, Freddy
15
2015
Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space. Zbl 1323.35010
Delbaen, Freddy; Qiu, Jinniao; Tang, Shanjian
5
2015
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions. Zbl 1225.60093
Delbaen, Freddy; Hu, Ying; Richou, Adrien
52
2011
Backward SDEs with superquadratic growth. Zbl 1253.60072
Delbaen, Freddy; Hu, Ying; Bao, Xiaobo
50
2011
A von Neumann-Morgenstern representation result without weak continuity assumption. Zbl 1241.91049
Delbaen, Freddy; Drapeau, Samuel; Kupper, Michael
3
2011
Risk management: value at risk and beyond. Reprint of the 2002 hardback ed. Zbl 1213.91087
1
2011
Representation of the penalty term of dynamic concave utilities. Zbl 1226.91025
Delbaen, Freddy; Peng, Shige; Rosazza Gianin, Emanuela
79
2010
Harmonic analysis of stochastic equations and backward stochastic differential equations. Zbl 1210.60060
Delbaen, Freddy; Tang, Shanjian
27
2010
Existence and non-uniqueness of solutions for BSDE. Zbl 1218.60046
Bao, Xiaobo; Delbaen, Freddy; Hu, Ying
2
2010
Risk measures and efficient use of capital. Zbl 1203.91110
Artzner, Philippe; Delbaen, Freddy; Koch-Medina, Pablo
29
2009
Risk measures for non-integrable random variables. Zbl 1168.91461
Delbaen, Freddy
19
2009
Differentiability properties of utility functions. Zbl 1187.91095
Delbaen, Freddy
14
2009
Optimality and risk – modern trends in mathematical finance. The Kabanov Festschrift. Zbl 1179.91005
1
2009
Coherent multiperiod risk adjusted values and Bellman’s principle. Zbl 1132.91484
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David; Ku, Hyejin
178
2007
The mathematics of arbitrage. Zbl 1106.91031
Delbaen, Freddy; Schachermayer, Walter
204
2006
Dynamic monetary risk measures for bounded discrete-time processes. Zbl 1184.91109
Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael
139
2006
The structure of \(m\)-stable sets and in particular of the set of risk neutral measures. Zbl 1121.60043
Delbaen, Freddy
70
2006
Erratum: Coherent and convex risk measures for unbounded càdlàg processes. Zbl 1124.91039
Cheredito, Patrick; Delbaen, Freddy; Kupper, Michael
14
2006
Hedging bounded claims with bounded outcomes. Zbl 1194.91084
Delbaen, Freddy
3
2006
Coherent and convex monetary risk measures for bounded càdlàg processes. Zbl 1114.91047
Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael
47
2004
Coherent and convex monetary risk measures for unbounded càdlàg processes. Zbl 1092.91039
Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael
30
2004
A central limit theorem for the optimal selection process for monotone subsequences of maximum expected length. Zbl 1071.60021
Bruss, F. Thomas; Delbaen, Freddy
14
2004
What is …a free lunch? Zbl 1091.91045
Delbaen, Freddy; Schachermayer, Walter
6
2004
On the law of one price. Zbl 1064.60084
Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; Stricker, Christophe
3
2004
Coherent risk measures on general probability spaces. Zbl 1020.91032
Delbaen, Freddy
220
2002
Exponential hedging and entropic penalties. Zbl 1072.91019
Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe
153
2002
No arbitrage condition for positive diffusion price processes. Zbl 1074.91014
Delbaen, Freddy; Shirakawa, Hiroshi
39
2002
A note on option pricing for the constant elasticity of variance model. Zbl 1072.91020
Delbaen, Freddy; Shirakawa, Hiroshi
39
2002
Risk management: Value at risk and beyond. Zbl 1035.91036
38
2002
An interest rate model with upper and lower bounds. Zbl 1071.91020
Delbaen, Freddy; Shirakawa, Hiroshi
32
2002
Hedging under transaction costs in currency markets: A discrete-time model. Zbl 1008.91046
Delbaen, Freddy; Kabanov, Yuri M.; Valkeila, Esko
14
2002
Passport options. Zbl 1048.91063
Delbaen, Freddy; Yor, Marc
10
2002
Optimal rules for the sequential selection of monotone subsequences of maximum expected length. Zbl 1005.60056
Bruss, F. Thomas; Delbaen, Freddy
18
2001
Applications to mathematical finance. Zbl 1013.46062
Delbaen, Freddy; Schachermayer, Walter
8
2001
Coherent risk measures. Zbl 1060.91077
Delbaen, Freddy
40
2000
Coherent risk measures. Zbl 1320.91066
Delbaen, Freddy
22
2000
Non-arbitrage and the fundamental theorem of asset pricing: summary of main results. Zbl 0969.91004
Delbaen, Freddy; Schachermayer, Walter
6
2000
Coherent measures of risk. Zbl 0980.91042
Artzner, Philippe; Delbaen, Freddy; Eber, Jean-Marc; Heath, David
1999
A compactness principle for bounded sequences of martingales with applications. Zbl 0939.60024
Delbaen, F.; Schachermayer, W.
23
1999
An addendum to “A remark on Slutsky’s theorem”. Zbl 0952.60006
Delbaen, Freddy
1
1999
The fundamental theorem of asset pricing for unbounded stochastic processes. Zbl 0917.60048
Delbaen, F.; Schachermayer, W.
206
1998
Convergence of discretized stochastic (interest rate) processes with stochastic drift term. Zbl 0915.60064
Deelstra, G.; Delbaen, F.
51
1998
On Esscher transforms in discrete finance models. Zbl 1162.91367
Buehlmann, H.; Delbaen, F.; Embrechts, P.; Shiryaev, A. N.
36
1998
A simple counterexample to several problems in the theory of asset pricing. Zbl 0910.60038
Delbaen, Freddy; Schachermayer, Walter
24
1998
Subspaces of \(L_p\) isometric to subspaces of \(\ell_p\). Zbl 0934.46008
Delbaen, F.; Jarchow, H.; Pełczyński, A.
9
1998
A remark on Slutsky’s theorem. Zbl 0915.60004
Delbaen, Freddy
1
1998
Weighted norm inequalities and hedging in incomplete markets. Zbl 0916.90016
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
44
1997
The Banach space of workable contingent claims in arbitrage theory. Zbl 0872.90008
Delbaen, Freddy; Schachermayer, Walter
29
1997
Long-term returns in stochastic interest rate models: different convergence results. Zbl 0914.60021
Deelstra, Griselda; Delbaen, Fred
5
1997
The variance-optimal martingale measure for continuous processes. Zbl 0849.60042
Delbaen, Freddy; Schachermayer, Walter
69
1996
No-arbitrage, change of measure and conditional Esscher transforms. Zbl 0943.91037
Bühlmann, Hans; Delbaen, Freddy; Embrechts, Paul; Shiryaev, Albert N.
56
1996
Attainable claims with \(p\)’th moments. Zbl 0869.90005
Delbaen, F.; Schachermayer, W.
9
1996
The existence of absolutely continuous local martingale measures. Zbl 0847.90013
Delbaen, Freddy; Schachermayer, Walter
57
1995
Arbitrage possibilities in Bessel processes and their relations to local martingales. Zbl 0830.90008
Delbaen, F.; Schachermayer, W.
47
1995
Default risk insurance and incomplete markets. Zbl 0866.90047
Artzner, Philippe; Delbaen, Freddy
46
1995
The no-arbitrage property under a change of numéraire. Zbl 0857.90007
Delbaen, Freddy; Schachermayer, Walter
40
1995
Long-term returns in stochastic interest rate models. Zbl 0847.62082
Deelstra, G.; Delbaen, F.
14
1995
An inequality for the predictable projection of an adapted process. Zbl 0831.60031
Delbaen, F.; Schachermayer, W.
7
1995
Long-term returns in stochastic interest rate models: Convergence in law. Zbl 0886.60073
Deelstra, G.; Delbaen, F.
5
1995
Long-term returns in stochastic interest rate models. Zbl 0827.90006
Deelstra, G.; Delbaen, F.
4
1995
A general version of the fundamental theorem of asset pricing. Zbl 0865.90014
Delbaen, Freddy; Schachermayer, Walter
620
1994
Arbitrage and free lunch with bounded risk for unbounded continuous processes. Zbl 0884.90024
Delbaen, Freddy; Schachermayer, Walter
18
1994
Weighted norm inequalities and closedness of a space of stochastic integrals. (Inégalités de normes avec poids et fermeture d’un espace d’intégrales stochastiques.) Zbl 0810.60047
Delbaen, Freddy; Monat, Pascale; Schachermayer, Walter; Schweizer, Martin; Stricker, Christophe
3
1994
A note on the no arbitrage condition for international financial markets. Zbl 1153.91483
Delbaen, Freddy; Shirakawa, Hiroshi
3
1994
Consols in the CIR model. Zbl 0884.90023
Delbaen, Freddy
13
1993
Representing martingale measures when asset prices are continuous and bounded. Zbl 0900.90101
Delbaen, Freddy
32
1992
The Laplace transform of annuities certain with exponential time distribution. Zbl 0784.62091
de Schepper, A.; Goovaerts, M.; Delbaen, F.
23
1992
Remarks on the methodology introduced by Goovaerts et al. Zbl 0768.62096
Deelstra, G.; Delbaen, F.
4
1992
A dynamic reinsurance theory. Zbl 0765.62096
De Waegenaere, A.; Delbaen, F.
2
1992
A remark on the moments of ruin time in classical risk theory. Zbl 0733.62108
Delbaen, Freddy
13
1990
‘Finem Lauda’ or the risks in swaps. Zbl 0714.62097
Artzner, Philippe; Delbaen, Freddy
6
1990
A martingale approach to premium calculation principles in an arbitrage free market. Zbl 0724.62102
Delbaen, F.; Haezendonck, J.
28
1989
Limit theorems for the present value of the surplus of an insurance portfolio. Zbl 0683.62059
Boogaert, P.; Haezendonck, J.; Delbaen, F.
10
1988
Macro-economic influences on the crossing of dividend barriers. Zbl 0668.62073
Boogaert, P.; Delbaen, F.; Haezendonck, J.
4
1988
Classical risk theory in an economic environment. Zbl 0622.62098
Delbaen, F.; Haezendonck, J.
50
1987
Martingales in Markov processes applied to risk theory. Zbl 0629.62100
Delbaen, F.; Haezendonck, J.
7
1986
Inversed martingales in risk theory. Zbl 0571.62093
Delbaen, F.; Haezendonck, J.
6
1985
Representation theorems for extremal distributions. Zbl 0546.60018
Haezendonck, J.; de Vylder, F.; Delbaen, F.
2
1984
Separation of risk parameters. Zbl 0598.62140
Delbaen, F.
1
1984
Semi imbeddings and Radon-Nikodým spaces. Zbl 0582.46021
Delbaen, F.
1
1984
On risk processes with the Markov property and with independent increments. Zbl 0522.62085
Delbaen, F.; Haezendonck, J.
1
1983
Automatic continuity of linear mappings on \(H^ \infty\). Zbl 0519.46055
Delbaen, F.
2
1982
A class of special \(L_\infty\) spaces. Zbl 0466.46024
Bourgain, J.; Delbaen, F.
75
1980
The Pelczynski property for some uniform algebras. Zbl 0405.46041
Delbaen, F.
1
1979
Quotient maps onto \(c(K)\). Zbl 0427.46011
Bourgain, J.; Delbaen, F.
1
1978
Weakly compact operators on the disc algebra. Zbl 0361.46048
Delbaen, F.
13
1977
A Dunford-Pettis theorem for \(L^1/H^{\infty\perp}\). Zbl 0349.46047
Cnop, I.; Delbaen, F.
4
1977
The Dunford-Pettis property for certain uniform algebras. Zbl 0336.46020
Delbaen, F.
2
1976
Weakly compact sets in \(H^1\). Zbl 0339.46038
Delbaen, Freddy
1
1976
Convex games and extreme points. Zbl 0337.90084
Delbaen, Freddy
36
1974
The second dual of a \(L_\infty\) space. Zbl 0268.46014
Delbaen, F.
1
1972
Caractérisation de la tribu des événements antérieurs a un temps d’arrêt pour un processus stochastique. (Characterization of the field of preceding events by a stopping time for a stochastic process.). Zbl 0232.60032
Haezendonck, J.; Delbaen, F.
2
1970
...and 3 more Documents
all top 5

Cited by 4,154 Authors

52 Siu, Tak Kuen
36 Madan, Dilip B.
36 Wang, Ruodu
35 Schachermayer, Walter
34 Kupper, Michael
32 Delbaen, Freddy
29 Elliott, Robert James
26 Kardaras, Constantinos
24 Ruszczyński, Andrzej
23 Platen, Eckhard
23 Protter, Philip Elliott
23 Shapiro, Alexander
22 Balbás, Alejandro
22 Jarrow, Robert Alan
21 Goovaerts, Marc J.
20 Hu, Yijun
20 Schweizer, Martin
19 Filipović, Damir
19 Rudloff, Birgit
19 Žitković, Gordan
18 Bouchard, Bruno
18 Cheridito, Patrick
18 Frittelli, Marco
18 Munari, Cosimo
18 Schoutens, Wim
17 Fan, Shengjun
17 Hu, Ying
17 Pichler, Alois
17 Rásonyi, Miklós
17 Rosazza Gianin, Emanuela
16 Bielecki, Tomasz R.
16 Choulli, Tahir
16 Fontana, Claudio
16 Jeanblanc, Monique
15 Balbás, Raquel
15 Bayraktar, Erhan
15 Bellini, Fabio
15 Biagini, Francesca
15 Chen, Zhiping
15 Lépinette, Emmanuel
15 Mao, Tiantian
15 Peng, Shige
15 Svindland, Gregor
15 Tangpi, Ludovic
14 Boonen, Tim J.
14 Dhaene, Jan
14 Fabozzi, Frank J.
14 Marinacci, Massimo
14 Tan, Ken Seng
13 Cialenco, Igor
13 Kramkov, Dmitriĭ Olegovich
13 Larsson, Martin
13 Li, Duan
13 Nutz, Marcel
13 Stupfler, Gilles
13 Tsanakas, Andreas
13 Yang, Hailiang
12 Balbás, Beatriz
12 Embrechts, Paul
12 Guasoni, Paolo
12 Koch Medina, Pablo
12 Kouri, Drew P.
12 Obloj, Jan K.
12 Pflug, Georg Ch.
12 Ruf, Johannes
12 Rüschendorf, Ludger
12 Tang, Shanjian
12 Xiong, Dewen
11 Chen, Yanhong
11 Cui, Xiangyu
11 Dolinsky, Yan
11 Hu, Taizhong
11 Maggis, Marco
10 Assa, Hirbod
10 Benth, Fred Espen
10 Cohen, Samuel N.
10 Dentcheva, Darinka
10 Drapeau, Samuel
10 Girard, Stéphane
10 Klein, Irene
10 Kohlmann, Michael
10 Kratschmer, Volker
10 Landsman, Zinoviy M.
10 Rheinländer, Thorsten
10 Stadje, Mitja
10 Weber, Stefan
10 Xu, Huifu
9 Bartl, Daniel
9 Berkaoui, Abdelkarem
9 Carassus, Laurence
9 De Schepper, Ann
9 Feinstein, Zachary
9 Gotoh, Jun-ya
9 Herdegen, Martin
9 Kim, Joseph Hyun Tae
9 Kountzakis, Christos E.
9 Maccheroni, Fabio
9 Mostovyi, Oleksii
9 Muhle-Karbe, Johannes
9 Nikeghbali, Ashkan
...and 4,054 more Authors
all top 5

Cited in 408 Serials

285 Insurance Mathematics & Economics
176 European Journal of Operational Research
172 Mathematical Finance
160 Finance and Stochastics
149 Quantitative Finance
119 Stochastic Processes and their Applications
114 International Journal of Theoretical and Applied Finance
95 The Annals of Applied Probability
92 Annals of Operations Research
84 Mathematics and Financial Economics
54 SIAM Journal on Financial Mathematics
53 Scandinavian Actuarial Journal
51 Statistics & Probability Letters
51 ASTIN Bulletin
50 North American Actuarial Journal
43 Stochastics
42 Mathematical Programming. Series A. Series B
41 Journal of Mathematical Analysis and Applications
41 Applied Mathematical Finance
38 Journal of Mathematical Economics
37 Annals of Finance
36 Stochastic Analysis and Applications
35 Journal of Applied Probability
34 Journal of Computational and Applied Mathematics
34 Operations Research Letters
34 Journal of Economic Dynamics & Control
33 Journal of Econometrics
31 Communications in Statistics. Theory and Methods
26 Methodology and Computing in Applied Probability
25 Mathematics of Operations Research
24 Mathematical Methods of Operations Research
24 Decisions in Economics and Finance
24 Computational Management Science
24 European Actuarial Journal
22 Journal of Optimization Theory and Applications
22 Operations Research
22 Asia-Pacific Financial Markets
21 Journal of Functional Analysis
21 Statistics & Risk Modeling
20 Optimization
20 Probability, Uncertainty and Quantitative Risk
19 Applied Mathematics and Optimization
19 SIAM Journal on Control and Optimization
19 International Journal of Approximate Reasoning
19 Positivity
18 The Annals of Probability
18 Computers & Operations Research
18 Bernoulli
17 SIAM Journal on Optimization
16 Proceedings of the American Mathematical Society
16 International Transactions in Operational Research
16 INFORMS Journal on Computing
16 Mathematical Problems in Engineering
14 Applied Mathematics and Computation
14 Journal of Economic Theory
14 Journal of Multivariate Analysis
14 Computational Optimization and Applications
13 Economic Theory
13 Journal of Industrial and Management Optimization
12 Probability Theory and Related Fields
12 Cybernetics and Systems Analysis
12 OR Spectrum
11 Acta Mathematicae Applicatae Sinica. English Series
11 Journal of Global Optimization
11 CEJOR. Central European Journal of Operations Research
10 Advances in Applied Probability
10 Israel Journal of Mathematics
10 Journal of Theoretical Probability
10 Review of Derivatives Research
10 Frontiers of Mathematical Finance
9 Physica A
9 Scandinavian Actuarial Journal
9 Computational Statistics and Data Analysis
9 Journal of Convex Analysis
9 Stochastic Models
9 Electronic Journal of Statistics
9 Dependence Modeling
8 Theory of Probability and its Applications
8 Transactions of the American Mathematical Society
8 Communications in Statistics. Simulation and Computation
8 Applied Mathematics. Series B (English Edition)
8 Electronic Communications in Probability
8 Stochastics and Dynamics
8 Science China. Mathematics
8 Modern Stochastics. Theory and Applications
7 Archiv der Mathematik
7 Journal of the American Statistical Association
7 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
7 Electronic Journal of Probability
7 Soft Computing
7 Extremes
7 Probability in the Engineering and Informational Sciences
7 Econometric Theory
6 Scandinavian Journal of Statistics
6 The Annals of Statistics
6 Mathematics and Computers in Simulation
6 Theory and Decision
6 Mathematical Social Sciences
6 Acta Applicandae Mathematicae
6 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
...and 308 more Serials
all top 5

Cited in 47 Fields

2,846 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,438 Probability theory and stochastic processes (60-XX)
703 Statistics (62-XX)
627 Operations research, mathematical programming (90-XX)
222 Functional analysis (46-XX)
217 Systems theory; control (93-XX)
130 Calculus of variations and optimal control; optimization (49-XX)
127 Numerical analysis (65-XX)
64 Partial differential equations (35-XX)
55 Operator theory (47-XX)
53 Measure and integration (28-XX)
47 Computer science (68-XX)
29 Real functions (26-XX)
24 Convex and discrete geometry (52-XX)
20 Ordinary differential equations (34-XX)
15 Integral equations (45-XX)
15 Statistical mechanics, structure of matter (82-XX)
14 Information and communication theory, circuits (94-XX)
11 Mathematical logic and foundations (03-XX)
11 Integral transforms, operational calculus (44-XX)
11 Global analysis, analysis on manifolds (58-XX)
10 Combinatorics (05-XX)
9 Number theory (11-XX)
9 Linear and multilinear algebra; matrix theory (15-XX)
8 Approximations and expansions (41-XX)
8 General topology (54-XX)
8 Biology and other natural sciences (92-XX)
7 Dynamical systems and ergodic theory (37-XX)
6 Special functions (33-XX)
6 Difference and functional equations (39-XX)
6 Fluid mechanics (76-XX)
5 General and overarching topics; collections (00-XX)
5 Order, lattices, ordered algebraic structures (06-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
4 Potential theory (31-XX)
3 History and biography (01-XX)
3 Geophysics (86-XX)
2 Topological groups, Lie groups (22-XX)
2 Abstract harmonic analysis (43-XX)
2 Quantum theory (81-XX)
1 Functions of a complex variable (30-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Geometry (51-XX)
1 Differential geometry (53-XX)
1 Mechanics of particles and systems (70-XX)
1 Mechanics of deformable solids (74-XX)
1 Mathematics education (97-XX)

Citations by Year