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 9. Trading Volatility for Profit

In this chapter, we'll look at various trading strategies for volatility. We'll cover directional volatility trading and relative value volatility arbitrage. Options and payoff diagrams, where we use F# and FSharpChart to visualize them, are also briefly covered. In this chapter, you will learn:

  • Trading volatility

  • Volatility arbitrage opportunities

  • Obtaining and calculating the data needed for the strategy

  • Deriving the mathematics behind volatility arbitrage