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F# - TOOL FOR QUANTS?

  • Nov 3, 2015 · 7:00 PM
  • Restaurant Oase

Hi all,

I am happy to announce the next Zurich F# meetup, scheduled for Tue, Nov 3 at 7 PM.

The presentation will be given by our long-term member Vidmantas Pleta. Vidas will take a look at F# from a broader perspective and see how it compares with other tools typically used in quantitative finance.

F# - TOOL FOR QUANTS?

Quantitative finance is a broad topic encompassing concepts from mathematics, economics, and computer science - just to name a few. In practice, many times the goal is to create a model that fairly well replicates stylized facts of a particular financial product or a portfolio of products and, most importantly, is useful in decision making.

Model prototyping-building is aided by statistical/mathematical computational platforms like Wolfram Mathematica, Matlab or R, etc. However, for business-critical computations, it is preferred to implement chosen models using modern programming languages like C/C++/C#, Java and recently - F#. In this session, we take an example of a commodity forward price curve model already implemented in Matlab (available at Mathworks website) and see how quickly and easily it could be re-implement in F#. We briefly discuss main mathematical concepts involved, as well as publicly available numerical libraries that could be helpful in this endeavour.

We are looking forward to seeing you soon.

If you come for the first time, please download this pdf to make sure you find the location.

All the best,

Marc

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