SA Branch EA Cornish Lecture

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The South Australian Branch of the Statistical Society warmly invite you to attend the 2017 E.A. Cornish Memorial Lecture, to be given by Professor Robert Elliott. Held every two years, this lecture is the highlight of our speaker program and we look forward to seeing you there.

 DateWEDNESDAY 25 OCTOBER 2017

 Venue:     Napier G04 Lecture Theatre, University of Adelaide, North Terrace. See the campus map, available at http://www.adelaide.edu.au/campuses/northtce/ .

Time:    5.30pm – Pre-meeting drinks & nibbles (foyer)

6.20pm – E. A. Cornish Memorial Lecture.

8.00pm – A dinner will be held after the meeting at Lemongrass Thai Bistro, 289 Rundle Street, Adelaide.

Please RSVP for dinner to Paul Sutcliffe ([email protected]) by Friday 20th October 2017.

Speaker:  Professor Robert Elliott, Research Professor at the University of South Australia.

 Topic: “New Ideas in an Old Framework”

Abstract: The binomial model, based on a discrete time random walk, is a standard framework used to introduce risk neutral pricing of financial assets. Martingale representation, backward stochastic differential equations and the Malliavin calculus are difficult concepts in a continuous time setting. This talk will present these ideas in the simple, discrete time binomial model.

Biography: Robert J. Elliott received the bachelors and masters degrees from Oxford University, Oxford, U.K., and the Ph.D. and D.Sc. degrees from Cambridge University, Cambridge, U.K. He has held positions at Newcastle, Yale, Oxford, Warwick, Hull, Alberta, and visiting positions in Toronto, Northwestern, Kentucky, Brown, Paris, Denmark, Hong Kong, and Australia. From 2001 to 2009 he was the RBC Financial Group Professor of Finance at the University of Calgary, Canada, where he was also an Adjunct Professor in both the Department of Mathematics and the Department of Electrical Engineering. From 2009 to 2014 he was an Australian Professorial Fellow at the University of Adelaide. Currently he is a Research Professor at the University of South Australia.

He has authored nine books and nearly 500 papers. His book with PE Kopp Mathematics of Financial Markets was published by Springer in 1999 and has been reprinted three times. The Hungarian edition was published in 2000 and the second edition was published in September 2004. An edition in China was published in 2010. Springer Verlag published his book Binomial Methods in Finance, written with John van der Hoek, in the summer of 2005. He has also worked in signal processing, and his book with L. Aggoun and J. Moore on Hidden Markov Models: Estimation and Control was published in 1995 by Springer Verlag and reprinted in 1997. A revised and expanded edition was printed in 2008. His book with L. Aggoun Measure Theory and Filtering was published by Cambridge University Press in June 2004. His earlier book Stochastic Calculus and Applications was published by Springer in 1982, and a Russian translation appeared in 1986. A greatly enlarged second edition written with S Cohen was published in December 2015.

The E.A. Cornish Lecture Series

The Statistical Society of Australia, South Australian Branch, inaugurated a series of public lectures on statistical topics of broad interest in 2001. The lecture series has been named to commemorate Alf Cornish, a leading figure in the early years of the statistical profession in Adelaide.

The lectures are held biennially and presented by eminent statisticians from around the world. Previous presenters of the Cornish Lecture have been Professor Terry Speed on the topic “Gene Expression”, Professor Adrian Baddeley on “Practical analysis of spatial points patterns”, Professor Kerrie Mengersen on “Making Decisions Based on Data”, Denis Trewin “Statistical Critique of the International Panel on Climate Change’s work on Climate Change”, Dr Louise Ryan “Data, data everywhere!”, Professor Peter Diggle on “A Tale of Two Parasites: Model-based Geostatistics and River Blindness in Equatorial Africa”, Professor Noel Cressie “Statistical Science: A Tale of Two Unknowns” and Professor John Carlin “Statistics and statisticians in real-world research: science or snake-oil?”.

Edmund Alfred Cornish (1909 – 1973)

E.A. Cornish graduated from Melbourne University in 1931 with first class honours in Agricultural Biochemistry, Agricultural Engineering and Surveying. While working as an agrostologist (specialist in grasses) at the Waite Research Institute, a centre for agricultural research and development in Adelaide, he became interested in statistical issues arising in agriculture. His interest in patterns of rainfall and their relationship to the yield of natural pastures continued throughout his life.

In 1937 he took a leave of absence at his own expense to study statistics with R.A. Fisher in London. On his return, he was appointed statistician to the Waite Institute. In 1940 he was appointed as Officer-in-Charge of the Biometric Section of the Council for Scientific and Industrial Research (CSIR, now CSIRO) in Melbourne. Under his leadership, the Biometric Section grew, attracting such high calibre scientists as Evan Williams, George McIntyre and Helen Newton Turner. In 1944 the headquarters of the Section was moved to Adelaide and renamed the Mathematical Statistics Section; in 1954 it became the Division of Mathematical Statistics (DMS), with Cornish as its first Chief. Under his leadership DMS grew to 50 staff at his death in 1973.

During the late 1950’s, the University of Adelaide had become aware of the importance of mathematical statistics and appointed Cornish as Foundation Professor of Mathematical Statistics at the University of Adelaide from 1960 until 1965, when his former student Alan James returned from Yale to take over the role.

While his name is perhaps most often heard in connection with the Cornish-Fisher expansion of quantiles of the distribution of a mean in terms of cumulants, his contributions to statistics and the profession were broad and of considerable significance for the development of statistics in Australia.

In addition to his early work on rainfall, he published extensively on experimental designs and analysis of experimental data, particularly in the presence of missing values. His work with Fisher led him to a strong interest in fiducial theory. This led him to develop ground-breaking ideas in multivariate analysis, including the development of a multivariate t -distribution to obtain fiducial distributions of multivariate means.

He was enthusiastic about the use of electronic computers in statistical work, perhaps as a result of his work on climatology, which involved the calculation and modelling of 90585 correlation coefficients. He appreciated early the potential for simulation to answer intractable statistical problems, and promoted the establishment of CSIRO’s Division of Computing Research, whose successor, the Division of Information Technology joined with Division of Mathematics and Statistics (DMS) to form the Division of Mathematical and Information Sciences, which currently is known as Data61 (the largest data innovation group in Australia).

He was a Fellow of the Australian Institute of Agricultural Science, an Honorary Fellow of the Royal Statistical Society and a Fellow of the Australian Academy of Science. He also served as President of the international Biometric Society and of the Australasian Region.

Alf Cornish laid the foundations for the strong tradition of experimental and theoretical statistics in Adelaide and it is fitting that his name should be associated with a series that will bring eminent statisticians to Adelaide to support the ongoing strength of the statistical profession here.

 

 

SA Branch EA Cornish Lecture
When: 25/10/2017
Time: 5:30 pm - 8:00 pm
Cost: Free
Location: G04 Napier University of Adelaide,
North Terrace,
Adelaide,
South Australia 5001
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