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

Summary


In this chapter, we looked deeper into F# and numerical analysis and how well the two fit together because of the functional syntax of the language. We covered algorithm implementation, basic numerical concerns, and the Math.NET library. After reading this chapter, you will be more familiar with both F# and numerical analysis and be able to implement algorithms yourself. At the end of the chapter, an example using the bisection method was covered. This method will prove to be very useful later on when we talk about Black-Scholes and implied volatility.

In the next chapter, we will build on what we learned so far and extend our current knowledge with data visualization, basic GUI programming, and plotting financial data.