Twenty-Fifth Annual
T.G. Ostrom Lecture and Reception

Robert J. Elliott, Guest Lecturer
March 23, 2006

The Department of Mathematics in conjunction with The School of Economic Sciences and the Department of Finance Insurance and Real Estate, was pleased to sponsor the Twenty-fifth Annual T.G. Ostrom Lecture, held on March 22, 2006 at Washington State University. Robert J. Elliott, Professor of Finance from the University of Calgary, was the invited guest lecturer and the title of this year's lecture was, "Money, Markets and Mathematical Models". Dr. Elliott's lecture covered some of the history of financial modeling, including the history of Brownian motion, as well as its fundamental stochastic process with applications in many fields, in addition to Brownian motion's central role in mathematical finance. Related antipodean encounters were described and the development of Brownian motion as a mathematical construction was outlined. Fractional Brownian Motion, a modification of standard Brownian motion, was discussed and a modified Black-Scholes formula was given.

Dr. Elliott was also the guest lecturer for the Post-Ostrom Seminar held March 23rd in the Center for Undergradut Education, with a reception immediately following in the Neill Hall Sydney Hacker Lounge. The topic was, "New Results for Fractional Brownian Motion," in which Dr. Elliott presented a new approach to Fractional Brownian Motion extending the recent work of Hu, Oksendal, Duncan and Pasik Duncan to include processes with Hurst parameters 0 < H < 1. Dr. Elliott presented new proofs, as well as results, and answered some of the criticisms of the use of fractional Bownian motion in financial modeling.

The following photos were taken during the reception that followed the Ostrom Lecture.

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Roden David, David Watkins and Emeritus Professor Ted Ostrom, seated

Professor Robert J. Elliott

Fred Inaba, Bob Dillon, and Mark Schumaker

Stergio Fotopoulos, Bala Krishnamoorthy, Roden David, and Bob Dillon

Stergio Fotopoulos, Charlie Gaskins, Robert Elliott, and Mike Jacroux

Richard Gomulkiewicz, David Wollkind, Fred Inaba, and Mark Schumaker