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