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

Chapter 3. Financial Mathematics and Numerical Analysis

In this chapter, the reader will be introduced to the basic numerical analysis and algorithm implementation in F#. We will look at how integer and floating-point numbers are implemented, and we will also look at their respective limitations. The basic statistics are covered, and the existing functions in F# are studied and compared with custom implementations.

This chapter will build up the foundation of numerical analysis that can be used when we look at option pricing and volatility later on. We'll also use some of the functionality covered in the previous chapter to implement the mathematical functions for aggregate statistics and to illustrate their usefulness in real life.

In this chapter, you will learn:

  • Implementing algorithms in F#

  • Numerical concerns

  • Implementing basic financial equations

  • Curve fitting and regression

  • Matrices and vectors in F#