Book Image

F# for Quantitative Finance

By : Johan Astborg
Book Image

F# for Quantitative Finance

By: Johan Astborg

Overview of this book

F# is a functional programming language that allows you to write simple code for complex problems. Currently, it is most commonly used in the financial sector. Quantitative finance makes heavy use of mathematics to model various parts of finance in the real world. If you are interested in using F# for your day-to-day work or research in quantitative finance, this book is a must-have.This book will cover everything you need to know about using functional programming for quantitative finance. Using a functional programming language will enable you to concentrate more on the problem itself rather than implementation details. Tutorials and snippets are summarized into an automated trading system throughout the book.This book will introduce you to F#, using Visual Studio, and provide examples with functional programming and finance combined. The book also covers topics such as downloading, visualizing and calculating statistics from data. F# is a first class programming language for the financial domain.
Table of Contents (17 chapters)
F# for Quantitative Finance
Credits
About the Author
About the Reviewers
www.PacktPub.com
Preface
Index

Introduction


Before we dive in to the language itself, we should discuss why we need it in the first place. F# is a powerful language, which may sound like a cliché, but it combines multiple paradigms into real-life productivity and supports the .NET components and libraries natively as well as the Common Language Infrastructure (CLI). Functional programming has long been associated with academics and experts. F# is one of the few languages offering a complete environment that is mature enough to comfortably be integrated into an organization.

Also, F# has extensive support for parallel programming, where advanced features such as asynchronous and multi-threaded concepts are implemented as language constructs. It hides a lot of implementation details from the programmer. In F#, the functional programming paradigm is the main philosophy used to solve problems. The other paradigms, object-oriented and imperative programming, are prioritized to be used as subsidiaries and complements for this main paradigm. Reasons for them to coexist, involves compatibility and pragmatic, real-world productivity concerns.