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November 2009
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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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