Department of Mathematical Sciences

Elliott, Robert J.

Office:

441 Central Academic Building

Mailing Address:

Department of Mathematical Sciences, University of Alberta,
Edmonton, Alberta, Canada, T6G 2G1

Phone:

(780) 492-5811

Fax:

(780) 492-6826

Email:

relliott@gpu.srv.ualberta.ca

Education:

BA (Oxford University)
MA (Oxford University)
PhD (Cambridge University)
ScD (Cambridge University)

Area of Specialization:

My recent work concerns stochastic processes and their applications in finance and engineering. In finance my current areas of interest include American options, term structure, the estimation of volatility and value at risk. In electrical engineering one is concerned with the optimal estimation of signals observed in noise. Applications of stochastic calculus and hidden Markov models gives rise to filters, smoothers and predictors.

Publications:

Curriculum Vitae:

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