Date
|
Topic
|
Readings/Lab
|
Homework
|
T |
31 |
NO CLASS: Cesar Chavez's Birthday |
Th |
Apr 2 |
Functional Programming Foundations |
T |
7 |
Mathematical Foundations, Intro to ML |
Th |
9 |
Basic Financial Concepts |
|
Assignment 1 due
|
T |
14 |
Delta Hedging, Polymorphic Datatypes |
Th |
16 |
Multiple-period bimonial models |
T |
21 |
Basics of Financial modeling in OCAML |
|
Assignment 2 due
|
Th |
23 |
Jensen's Inequality |
T |
28 |
Martingales |
Th |
30 |
Markov processes |
T |
May 5 |
Proving things Markov |
W |
6 |
|
|
Assignment 3 due
|
Th |
7 |
Radon-Nikodym derivative (discrete-time) |
T |
12 |
Radon-Nikodym derivative cont. |
Th |
14 |
Minsky talk part II, elements of abstraction |
T |
19 |
Functional Queues, Reppy-style concurrency |
Th |
21 |
Financial Combinators |
T |
26 |
Implementing Financial Combinators |
Th |
28 |
Discussion of Functional Binomial Queues |
T |
Jun 2 |
Student presentations |
|
Assignment 4 due
|
Th |
4 |
|