F# for Quantitative Finance by Johan Astborg, Packt Publishing Book Review

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 and Packt.


Posted on March 10, 2014, in Uncategorized. Bookmark the permalink. Leave a comment.

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