F# for Quantitative Finance

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.

一本介紹如何運用F#進行量化金融的入門指南，利用.NET平台。

概述:
- 透過理論和教程學習函數式編程
- 利用程式碼片段建立完整的自動交易系統
- 使用F# Interactive進行探索性開發
- 利用F#在.NET平台和其他Microsoft現有工具上進行開發

詳細內容:
F#是一種函數式編程語言，可以讓您為複雜問題編寫簡潔的代碼。目前，它在金融領域中被廣泛使用。量化金融利用數學模型化金融領域的各個部分。如果您有興趣在日常工作或量化金融研究中使用F#，這本書是必不可少的。

本書將涵蓋使用函數式編程進行量化金融所需的一切知識。使用函數式編程語言可以讓您更專注於問題本身，而不是實現細節。本書中的教程和程式碼片段將被總結成一個自動交易系統。

本書將介紹您使用Visual Studio的F#，並提供結合函數式編程和金融的示例。本書還涵蓋了下載、可視化和計算數據的相關主題。

F#是金融領域的一流編程語言。

本書將教您:
- 使用Visual Studio作為編寫F#的主要工具
- 利用F#聚合數據並計算統計數據
- 在F#中繪製和可視化數據
- 了解波動性、Delta對沖和波動性套利
- 理解基本的數值分析和算法實現
- 將訂單和市場數據與基本的交易前風險建模
- 結構化和編寫面向對象的代碼
- 使用F#開發更大型的程式
- 探索自動交易系統和量化交易模型

本書的方法是通過教程和大量的代碼示例，引導讀者從函數式編程和F#的基礎知識到更複雜的任務。隨著閱讀的進展，您將能夠修改和編寫自己的代碼來解決金融領域的各種問題。

本書的讀者對象:
- 如果您是量化金融、經濟學或數學的從業人員，並希望學習F#，那麼本書適合您。您可能對金融概念和模型有基本的概念理解，但不需要具備先前的知識。