PacktLib: F# for Quantitative Finance

F# for Quantitative Finance


About the Author

About the Reviewers


Introducing F# Using Visual Studio


Getting started with Visual Studio

Understanding F# Interactive

Language overview

Explaining mutability and immutability

Primitive types

Explaining type inference

Explaining functions

Documenting your code

Your first application

The whole program

The power of prototyping

Functional languages in quantitative finance

Understanding the imperative code and interoperability


Learning More About F#

Structuring your F# program

Looking deeper inside data structures

Choosing data structures

More on functional programming

Asynchronous and parallel programming

A brief look at imperative programming

Using XML documentation


Financial Mathematics and Numerical Analysis

Understanding the number representation

Learning about numerical types in F#

Arithmetic operators

Learning about arithmetic comparisons

Math operators

Conversion functions

Introducing statistics

Using the Math.NET library

Learning about root-finding algorithms


Getting Started with Data Visualization

Making your first GUI in F#

Composing interfaces

Displaying data

Extending the application to use Bollinger bands

Using FSharp.Charting

Creating a bar chart


Learning Option Pricing

Introduction to options

Learning the Black-Scholes formula

The Monte Carlo method


Exploring Volatility

Introduction to volatility

Learning about implied volatility

Solving for implied volatility

Delta hedging using Black-Scholes

Exploring the volatility smile


Getting Started with Order Types and Market Data

Introducing orders

Understanding order execution

Introducing market data

Implementing simple pretrade risk analysis

Introducing FIX and QuickFIX/N


Setting Up the Trading System Project

Explaining automated trading

Understanding software testing and test-driven development

Understanding NUnit and FsUnit

Connecting to Microsoft SQL Server

Introducing type providers

Writing test cases


Trading Volatility for Profit

Trading the volatility

Plotting payoff diagrams with FSharpCharts

Learning directional trading strategies

Deriving the mathematics

Learning relative value trading strategies

Defining the trading strategy


Putting the Pieces Together

Understanding the requirements

Revisiting the structure of the system

Understanding the Model-View-Controller pattern

Executing the trading strategy using a framework

Building the GUI

Presenting information in the GUI

Adding support for downloading the data

Looking at possible additions to the system