Johan Astborg - F# for Quantitative Finance
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- Book:F# for Quantitative Finance
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An introductory guide to utilizing F# for quantitative finance leveraging the .NET platform
Overview
- Learn functional programming with an easy-to-follow combination of theory and tutorials
- Build a complete automated trading system with the help of code snippets
- Use F# Interactive to perform exploratory development
- Leverage the .NET platform and other existing tools from Microsoft using F#
In Detail
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.
What you will learn from this book
- Use Visual Studio as your main tool for writing F#
- Utilize F# to aggregate data and calculate statistics
- Plot and visualize data in F#
- Learn about volatility, delta hedging, and volatility arbitrage
- Understand basic numerical analysis and algorithm implementation
- Model orders and market data together with basic pre-trade risk
- Structure and write object-oriented code
- Develop larger programs using F#
- Explore automated trading systems and quantitative trading models
Approach
The approach is to guide you as a reader from the basics of functional programming and F# to more complex tasks using tutorials and a lot of code examples. As you gain more confidence through out the book, you will be able to modify and write your own code to solve various problems in finance.
Who this book is written for
If you are a practitioner of quantitative finance, economics, or mathematics and wish to learn F#, then this book is for you. You may have a basic conceptual understanding of financial concepts and models, but no previous knowledge is expected.
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Copyright 2013 Packt Publishing
All rights reserved. No part of this book may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, without the prior written permission of the publisher, except in the case of brief quotations embedded in critical articles or reviews.
Every effort has been made in the preparation of this book to ensure the accuracy of the information presented. However, the information contained in this book is sold without warranty, either express or implied. Neither the author, nor Packt Publishing, and its dealers and distributors will be held liable for any damages caused or alleged to be caused directly or indirectly by this book.
Packt Publishing has endeavored to provide trademark information about all of the companies and products mentioned in this book by the appropriate use of capitals. However, Packt Publishing cannot guarantee the accuracy of this information.
First published: December 2013
Production Reference: 1191213
Published by Packt Publishing Ltd.
Livery Place
35 Livery Street
Birmingham B3 2PB, UK.
ISBN 978-1-78216-462-3
www.packtpub.com
Cover Image by Aniket Sawant ( <>)
Author
Johan Astborg
Reviewers
Yan Cui
Arthur Pham
Isaac Abraham
Acquisition Editors
Sam Birch
Aarthi Kumaraswamy
Kunal Parikh
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Graphics
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Cover Work
Melwyn D'sa
Johan Astborg is the developer and architect of various kinds of software systems and applications, financial software systems, trading systems, as well as mobile and web applications. He is interested in computer science, mathematics, and quantitative finance, with a special focus on functional programming. Johan is passionate about languages such as F#, Clojure, and Haskell, and operating systems such as Linux, Mac OS X, and Windows for his work. Most of Johan's quantitative background comes from Lund University, where he studied courses in computer science, mathematics, and physics. Currently Johan is studying pure mathematics at Lund University, Sweden, and is aiming for a PhD in the future, combining mathematics and functional programming. Professionally, Johan has worked as a part-time developer for Sony Ericsson and various smaller firms in Sweden. He also works as a part-time consultant focusing on web technologies and cloud solutions. You can easily contact him by sending an e-mail to <.
Yan Cui (@theburningmonk) is a lead server-side developer at the London-based, award winning gaming company GameSys. He focuses on building highly distributed and scalable server-side solutions for GameSys's social and mobile games. Yan is a regular speaker on topics such as F#, AOP, and NoSQL at local user groups and conferences in the UK and keeps an active blog at http://theburningmonk.com. He is also a co-author of the upcoming book, F# Deep Dives, Manning Publications .
Arthur Pham is working for for Thomson Reuters as a Lead Quantitative Engineer since 2006. He has spent many years designing and implementing derivatives pricing models and still loves learning new programming languages like F#, C++, Python, Flex/Actionscript, C#, Ruby, and JavaScript.
He currently lives in New York, USA, and can be contacted on Twitter @arthurpham.
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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 the real world. If you are interested in using F# for your day-to-day work or research in quantitative finance, this book is for you.
This book covers everything you need to know about using functional programming for quantitative finance. Using a functional programming language for quantitative finance will enable you to concentrate more on the model itself rather than the implementation details. Tutorials and snippets are summarized into a trading system throughout this book.
F#, together with .NET, provides a wide range of tools needed to produce high quality and efficient code, from prototyping to production. The example code snippets in this book can be extended into larger blocks of code, and reused and tested easily in a functional language. F# is considered one of the default functional languages of choice for financial and trading-related applications.
, Introducing F# Using Visual Studio , introduces you to F# and its roots in functional languages. You will learn how to use F# in Visual Studio and write your first application.
, Learning More About F# , teaches you more about F# as a language and illustrates the many sides of this paradigm language.
, Financial Mathematics and Numerical Analysis , introduces the toolset we'll need throughout the book to implement financial models and algorithms.
, Getting Started with Data Visualization , introduces some of the most common ways to use F# to visualize data and display information in a GUI.
, Learning Option Pricing , teaches you about options, the Black-Scholes formula and ways of exploring options using the tools at hand.
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