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

Learning directional trading strategies


Directional trading in volatility means trading in the direction of the volatility. If the volatility is high, we may initiate a short trade in volatility. In this section, we'll first look at how to trade volatility using option strategies. Then, using an option and the underlying price to trade volatility, we'll look at the VIX index and the delta neutral position.

Trading volatility using options

One way of trading volatility is to use options. We'll look at two option strategies for trading volatility or price movement in the underlying option.

Trading the straddle

The straddle position consists of two options: one put and one call. Straddles are useful when the viewpoint of the underlying market is neutral, which means there is no speculation in the long-term movement of the market. It also means the straddle position is useful when one wants to trade volatility, regardless of the movement of the market.

Long straddle

A long straddle trade is created...