F# financial programming books for quant development?

(Last Updated On: May 10, 2011)

F# financial programming books for quant development?

Just curious, are there any F# books which deal with financial mathematics? I have plenty of C++ books but I really want to see creative uses of functional paradigms w.r.t. things like technical analysis and financial stream processing.

personally I don’t know any book on F# that deals exclusively with finance, but there is

Quantifa (the port of quantlib in F#)

Math.Net (mathematics library with an F# front-end) http://mathnetnumerics.codeplex.com/

F# for scientists (author: Jon Harrop / isbn: 0470242117)

The book I’d recommend is F# for Scientist (ISBN: 9780470242117) because it is terse for the basics, but goes into detail for the higher-level concepts (curried functions, pattern matching, tail-recursion, parsing…) and skims over the stuff you probably wouldn’t use F# for anyway (e.g. GUI building).

For F# in finance, I’d recommend http://ql.codeplex.com/ which is a complete (including experimental) C++/CLI wrapper around the latest version of QuantLib, with sensible Functional changes:

• void functions wrappers return “this”

• non-const functions boost::spinlock parameters

• F# option (some none) for default parameters

• F# module library for factory functions

I’ll add some examples when I have time this month.

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