Professor Robert Elliott

Australian Research Council Professorial Fellow

Office: 445 | Telephone: +61 8 8303 5077 | Personal homepage

Academic duties

Responsibility
Scientific Director, Centre for the Quantification and Management of Risk

Postgraduate supervision

Thesis title	Student	Graduation
Measures of risk	Samuel Cohen
Risk management	Bin Shen

Research interests

Research interest	Group
Stochastic modelling	Mathematics of Risk
General theory of processes	Mathematics of Risk
Backward stochastic differential equations	Mathematics of Risk
Filtering	Mathematics of Risk
Systems engineering	Mathematics of Risk
Hidden Markov processes	Mathematics of Risk
Protein sequencing	Mathematics of Risk

Research seminars

Title	Series
Alberta Power Prices	School of Mathematical Sciences Colloquium

Research grants

Grant title	Funding Agency
Dynamic risk measures	ARC

Selected publications

Publications
Investment timing under regime switching Elliott, Robert; Miao, H; Yu, J, International Journal of Theoretical and Applied Finance 12 (443–463) 2009
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy Elliott, Robert; Siu, T, Annals of Operations Research 1 (1–21) 2009
Portfolio risk minimization and differential games Elliott, Robert; Siu, T, Nonlinear Analysis-Theory Methods & Applications In Press (–) 2009
Risk-hedging in real estate markets Cadenillas, A; Elliott, Robert; Miao, H; Wu, Z, Asia-Pacific Financial Markets In Press (1–21) 2009
On Markov-modulated exponential-affine bond price formulae Elliott, Robert; Siu, T, Applied Mathematical Finance 16 (1–15) 2009

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