Dr Donna Mary Salopek

Dr Donna Salopek is a senior lecturer within the Department of Statistics, School of Mathematics and Statistics.

ADMINISTRATIVE DUTIES:

Postgraduate Coursework Coordinator, School of Mathematics and Statistics

RESEARCH INTERESTS: Stochastic Analysis and its application to financial modelling

CURRENT TEACHING DUTIES:

MATH 5816 Continuous Time Financial Modelling

MATH 5985 Term Structure Modelling

GRANTS:

Faculty Research Grant (2011): Stochastic integration of cylindrical ractional Brownian ...

Phone

9385 7030

E-mail

dm.salopek@unsw.edu.au

Location

Room RC-2054 Red Centre Kensington Campus UNSW

Publications

Journal articles | 2017

Fan Y; de Micheaux PL; Penev S; Salopek D, 2017, 'Multivariate nonparametric test of independence', Journal of Multivariate Analysis, 153, pp. 189 - 210, http://dx.doi.org/10.1016/j.jmva.2016.09.014

Journal articles | 2012

Brzezniak Z; Van neerven J; Salopek DM, 2012, 'Stochastic evolution equations driven by Liouville fractional Brownian motion', Czechoslovak Mathematical Journal, 62, pp. 1 - 27, http://dx.doi.org/10.1007/s10587-012-0011-z

Journal articles | 2005

Hu YZ; Salopek DM; Oksendal B, 2005, 'Weighted local time for fractional Brownian motion and applications tofinance', Stochastic Analysis and Applications, 23, pp. 15 - 30

Journal articles | 2005

Xiong J; Wong A; Salopek DM, 2005, 'Saddlepoint approximations to option price in a general equilibrium model', Statistics and Probability Letters, 71, pp. 361 - 369, http://www.sciencedirect.com/science/article/B6V1D-4F9N5RY-5/2/311a94d8e4b1219e8def5f4055103685

Journal articles | 2002

Salopek DM, 2002, 'A new class of nearly self-financing strategies', Statistics and Probability Letters, 56, pp. 69 - 75, http://dx.doi.org/10.1016/S0167-7152(01)00173-0

Journal articles | 1998

Salopek DM, 1998, 'Tolerance to arbitrage', Stochastic Processes and their Applications, 76, pp. 217 - 230, http://dx.doi.org/10.1016/S0304-4149(98)00025-8