Professor Robert Elliott

Australian Research Council Professorial Fellow

Office: 719 | Telephone: +61 8 8313 5077 | Personal homepage

Academic duties

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

Doctor of Philosophy supervision

Thesis title	Student	Graduation
Problems in backward stochastic differential equations; with applications to nonlinear evaluations and risk measures	Samuel Cohen	2011
Risk management	Bin Shen
Risk and regime switching in commodity markets	Ahmed Hamada

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
American option pricing in a Markov chain market model	Operations Research and Statistics Seminar
Alberta Power Prices	School of Mathematical Sciences Colloquium

Research grants

Grant title	Funding Agency
Dynamic risk measures	ARC