Browse Library
Sign In Start Free Trial
Close icon Search icon
Account
Browse Library Sign In Start Free Trial

Add to playlist

Create a Playlist

Modal Close icon
You need to login to use this feature.
  • Book Overview & Buying F# for Quantitative Finance
  • Table Of Contents Toc
F# for Quantitative Finance

F# for Quantitative Finance

By : Johan Astborg
3.8 (5)
Buy this Book
close
close
F# for Quantitative Finance

F# for Quantitative Finance

3.8 (5)
By: Johan Astborg
Buy this Book

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)
close
close
close
F# for Quantitative Finance
Icon
F# for Quantitative Finance
Credits
Icon
Credits
About the Author
Icon
About the Author
About the Reviewers
Icon
About the Reviewers
www.PacktPub.com
Icon
www.PacktPub.com
Preface
Icon
Preface
Lock Free Chapter
1
Introducing F# Using Visual Studio
Icon
Introducing F# Using Visual Studio
Icon
Introduction
Icon
Getting started with Visual Studio
Icon
Understanding F# Interactive
Icon
Language overview
Icon
Explaining mutability and immutability
Icon
Primitive types
Icon
Explaining type inference
Icon
Explaining functions
Icon
Documenting your code
Icon
Your first application
Icon
The whole program
Icon
The power of prototyping
Icon
Functional languages in quantitative finance
Icon
Understanding the imperative code and interoperability
Icon
Summary
2
Learning More About F#
chevron up
Icon
Learning More About F#
Icon
Structuring your F# program
Icon
Looking deeper inside data structures
Icon
Choosing data structures
Icon
More on functional programming
Icon
Asynchronous and parallel programming
Icon
A brief look at imperative programming
Icon
Using XML documentation
Icon
Summary
3
Financial Mathematics and Numerical Analysis
Icon
Financial Mathematics and Numerical Analysis
Icon
Understanding the number representation
Icon
Learning about numerical types in F#
Icon
Arithmetic operators
Icon
Learning about arithmetic comparisons
Icon
Math operators
Icon
Conversion functions
Icon
Introducing statistics
Icon
Using the Math.NET library
Icon
Learning about root-finding algorithms
Icon
Summary
4
Getting Started with Data Visualization
Icon
Getting Started with Data Visualization
Icon
Making your first GUI in F#
Icon
Composing interfaces
Icon
Displaying data
Icon
Extending the application to use Bollinger bands
Icon
Using FSharp.Charting
Icon
Creating a bar chart
Icon
Summary
5
Learning Option Pricing
Icon
Learning Option Pricing
Icon
Introduction to options
Icon
Learning the Black-Scholes formula
Icon
The Monte Carlo method
Icon
Summary
6
Exploring Volatility
Icon
Exploring Volatility
Icon
Introduction to volatility
Icon
Learning about implied volatility
Icon
Solving for implied volatility
Icon
Delta hedging using Black-Scholes
Icon
Exploring the volatility smile
Icon
Summary
7
Getting Started with Order Types and Market Data
Icon
Getting Started with Order Types and Market Data
Icon
Introducing orders
Icon
Understanding order execution
Icon
Introducing market data
Icon
Implementing simple pretrade risk analysis
Icon
Introducing FIX and QuickFIX/N
Icon
Summary
8
Setting Up the Trading System Project
Icon
Setting Up the Trading System Project
Icon
Explaining automated trading
Icon
Understanding software testing and test-driven development
Icon
Understanding NUnit and FsUnit
Icon
Connecting to Microsoft SQL Server
Icon
Introducing type providers
Icon
Writing test cases
Icon
Summary
9
Trading Volatility for Profit
Icon
Trading Volatility for Profit
Icon
Trading the volatility
Icon
Plotting payoff diagrams with FSharpCharts
Icon
Learning directional trading strategies
Icon
Deriving the mathematics
Icon
Learning relative value trading strategies
Icon
Defining the trading strategy
Icon
Summary
10
Putting the Pieces Together
Icon
Putting the Pieces Together
Icon
Understanding the requirements
Icon
Revisiting the structure of the system
Icon
Understanding the Model-View-Controller pattern
Icon
Executing the trading strategy using a framework
Icon
Building the GUI
Icon
Presenting information in the GUI
Icon
Adding support for downloading the data
Icon
Looking at possible additions to the system
Icon
Summary
1
Index
Icon
Index

Looking deeper inside data structures

In the previous chapter we introduced some data structures of F# and scratched the surface of their functionality. In this section we will take a deeper look at several data structures and expressions used in many programs.

The following is a list of what will be covered together with a short description to summarize their main characteristics:

  • Record types: Record types are used to represent data and group pieces of data together by combining named values and types.

  • Discriminated unions: Discriminated unions are useful to represent heterogeneous data and support data that can be a set of named cases.

  • Enumerations: Enumerations in F# are almost identical to enumerations in other languages and are used to map labels to constant values.

  • Arrays: Arrays are collections of a fixed size and must contain values of the same type. Large arrays of constant values can be compiled to efficient binary representations.

  • Lists: Lists are ordered collections with elements...

CONTINUE READING
83
Tech Concepts
36
Programming languages
73
Tech Tools
Icon Unlimited access to the largest independent learning library in tech of over 8,000 expert-authored tech books and videos.
Icon Innovative learning tools, including AI book assistants, code context explainers, and text-to-speech.
Icon 50+ new titles added per month and exclusive early access to books as they are being written.
F# for Quantitative Finance
End of Section 2
Next Section
notes
bookmark Notes and Bookmarks search Search in title playlist Add to playlist font-size Font size

Change the font size

margin-width Margin width

Change margin width

day-mode Day/Sepia/Night Modes

Change background colour

Close icon Search
Country selected
Close icon Your notes and bookmarks

Confirmation

Modal Close icon
claim successful
Order Page Read Now

Buy this book with your credits?

Modal Close icon
Are you sure you want to buy this book with one of your credits?
Close
YES, BUY

Submit Your Feedback

Modal Close icon
Modal Close icon
Modal Close icon