F# for Quantitative Finance
By Johan Astborg
Publisher: Packt Publishing
Final Release Date: December 2013
Pages: 286

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.


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 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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(1 of 2 customers found this review helpful)


Sets new high in Programming for Finance

By ArthurZ

from Toronto, Ontario, Canada

About Me Developer


  • Easy to understand
  • Helpful examples
  • Well-written


    Best Uses

    • Intermediate

    Comments about oreilly F# for Quantitative Finance:

    F# for Quantitative Finance by Johan Astborg is an awesome read even if you don't know much about Quantitative Finance (Mathematical Finance), or very little, just like myself. I actually became fascinated about the F# as a Functional Langauge. My obsession progressed as I went further through the several first chapters realizing more and more how much the language from Microsoft Research has to offer to a next-gen programmer, minus the affliction about what Visual Studio exposes (which is zilch) to allow building neat UIs in F# (I know, the language prefix 'Visual' in its name IS missing, so it is hard to blame Visual Studio).
    Be aware, this book dedicates about half to the F# language particulars solely that by the way are very worth reading. Luckily (or not), no in-depth knowledge of math is necessary.

    The second half of the book builds on top of what you learned about F# and unfolds into a full fledged trading application (no kidding!). In my humble opinion, the author is a little shy about the application built in the book, and I think this is unjustified. Perhaps this is due to the fact the application's look is not what would one expect to see at a broker's station, but hey, only this little can be covered in a single book. The author seems to have even been overdelivering building a World-class application with a test harness and bringing a number of suggestions how to further improve it potentially making it enterprise ready.

    Anyhow, you may have a live Volatility Arbitrage system at your disposal (if you pay Packt ~ $23 and read till the before-last chapter), and then who knows, may be you are the next millionaire! :-)

    Now back to Earth, if you do know enough about Quantitative Finance, but not much about F#, likewise, this is your book for sure, too.

    I suspect that if you know how to program in any language, and don't know either F# or Quantitative Finance, this is book must be quite approachable by you, as well.

    In terms of closing, I was thrilled reading this book feeling I am an integral part of building something bleeding edge useful out of carefully crafted re-usable blocks of code, as expressing formulas in F#, trying code in REPL, persisting data, charting cool graphs, and more. Frankly, at times it felt pretending fulfilling a commercial assignment.

    On the negative note, the book's code has bugs, easy to spot, and mostly fix. It may be a good idea to learn this way, but it depletes your time not exactly productively. I suggest you simply look beyond them.

    I hope a new lucky reader will have as much fun as me with this book, it was hard to put it off!

    5 out of 5 goes to Johan.

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