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 to options


Options come in two variants, puts and calls. The call option gives the owner of the option the right, but not the obligation, to buy the underlying asset at the strike price. The put option gives the holder of the contract the right, but not the obligation, to sell the underlying asset. The Black-Scholes formula describes the European option, which can only be exercised on the maturity date, in contrast to, for example, American options. The buyer of the option pays a premium for this in order to cover the risk taken from the counterpart's side. Options have become very popular and they are used in the major exchanges throughout the world, covering most asset classes.

The theory behind options can become complex pretty quickly. In this chapter, we'll look at the basics of options and how to explore them using the code written in F#.

Looking into contract specifications

Options come in a wide number of variations, some of which will be covered briefly in this section...