Robert Elliott, University of Calgary

Research

Read how they describe their research on their University of Calgary profile.

Latest funding

Estimation and filtering of hidden semi Markov models, event based filters and stochastic control.
NSERC · 2015 · Principal investigator
$180,000
Hidden semi Markov models; stochastic control.
NSERC · 2014 · Principal investigator
$37,000
Modeling wealth transfer through time and space
SSHRC · 2012 · Principal investigator
$227,250

All 9 grants and awards

No publications available.

Estimation and filtering of hidden semi Markov models, event based filters and stochastic control.

Principal investigatorNSERC2015Discovery Grants Program - Individual

Principal investigators: Elliott, Robert

$180,000

Hidden semi Markov models; stochastic control.

Principal investigatorNSERC2014Discovery Grants Program - Individual

Principal investigators: Elliott, Robert

$37,000

Modeling wealth transfer through time and space

Principal investigatorSSHRC2012Insight Grants

Principal investigators: Elliott, Robert J.

Keywords: backward dynamics; regime switching; filtering and estimation; long term dependence; fractional noise

$227,250

Non linear filters and hidden Markov models

Principal investigatorNSERC2009Discovery Grants Program - Individual

Principal investigators: Elliott, Robert

$230,000

Regime switching and quantitative financial modelling

Principal investigatorSSHRC2009Standard Research Grants

Principal investigators: Elliott, Robert J.

Keywords: quantitative finance; regime switching; asset pricing; risk; default; fat-tailed distributions

$64,500

Pricing non tradable assets, regime switching and real options

Principal investigatorSSHRC2005Standard Research Grants

Principal investigators: Elliott, Robert J.

Keywords: quantitative finance; commodity pricing; term structure; derivative securities; risk; stochastic processes; filtering; estimation

$150,000

Data fusion and hybrid signal processing

Principal investigatorNSERC2004Discovery Grants Program - Individual

Principal investigators: Elliott, Robert

$200,000

Regime switching and hidden Markov models in the modelling of financial processes

Principal investigatorSSHRC2002Standard Research Grants

Principal investigators: Elliott, Robert J.

Keywords: financial processes; term structure; option pricing; electricity pricing. commoditity pricing; portfolio theory.

$59,000

Hybrid signal processing

Principal investigatorNSERC2000Discovery Grants Program - Individual

Principal investigators: Elliott, Robert

$148,000

From CIHR, NSERC and SSHRC funding decisions: CIHR since 2008, NSERC since 1991 and SSHRC since 1998, including their latest published competition results.

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Subject: Prospective PhD student Dear Professor Elliott, My name is [your name], and I am a [your current degree or role] at [your institution]. I am applying for a PhD position starting in [term and year]. Your research connects closely to my own work on [your research topic]. [One or two sentences on what you did and what you learned.] Are you accepting new PhD students for [term and year]? I have attached my CV and transcripts, and I would be glad to talk at a time that suits you. Thank you for your time. Kind regards, [your name]