Department of Mathematical Sciences
Elliott, Robert J.
- 441 Central Academic Building
- Mailing Address:
- Department of Mathematical Sciences, University of Alberta,
Edmonton, Alberta, Canada, T6G 2G1
- (780) 492-5811
- (780) 492-6826
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.
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