Hans Föllmer (20 May 1941 in Heiligenstadt, Thuringia, Germany) is a German mathematician, currently professor emeritus at the Humboldt University of Berlin,[1] [2] visiting professor at the National University of Singapore, and Andrew D. White Professor-at-Large at Cornell University. He was awarded the Cantor medal in 2006.[3] In 2007 he became doctor honoris causa at the Paris Dauphine University.[4]
Hans Föllmer is widely known for his contributions to probability theory, stochastic analysis [5] and mathematical finance.
In mathematical economics, he made early contributions to the mathematical modeling of social interactions.[6]
In mathematical finance, he made fundamental contributions to the theory of risk measures[7] and the hedging of contingent claims.
Föllmer . Hans . Random economies with many interacting agents . Journal of Mathematical Economics . March 1974 . 1 . 1 . 51–62 . 0304-4068 . 10.1016/0304-4068(74)90035-4 .
Book: Séminaire de Probabilités XV 1979/80 . Föllmer . H. . Calcul d'Ito sans probabilites . Lecture Notes in Mathematics . 1981 . 850 . 143–150 . Springer Berlin Heidelberg . 0075-8434 . 1617-9692 . 10.1007/BFb0088364 . 978-3-540-10689-0 .
Book: Lecture Notes in Mathematics . Föllmer . Hans . Random fields and diffusion processes . 1988 . 1362 . 101–203 . Springer Berlin Heidelberg . 0075-8434 . 1617-9692 . 10.1007/BFb0086180 . 978-3-540-50549-5 .
Föllmer . Hans . Schied . Alexander . Convex measures of risk and trading constraints . Finance and Stochastics . 1 October 2002 . 6 . 4 . 429–447 . 0949-2984 . 10.1007/s007800200072 . 1729029 . 10419/62741 . free .
Föllmer . H. . Kabanov . Y.M. . Optional decomposition and Lagrange multipliers . Finance and Stochastics . 1 November 1997 . 2 . 1 . 69–81 . 0949-2984 . 1432-1122 . 10.1007/s007800050033 . 13051630 . 10419/66314 . free .