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Functional Programming and Finance

Functional Programming and Finance. Saturday, 6 December 2008. Black and Scholes formula. Here is an implementation of the Black and Scholes. Formula for simple and digital European options in F#:. Abramowitz and Stegun formula for the. Standard normal cumulative distribution. B1 = 0.319381530. B2 = -0.356563782. B3 = 1.781477937. B4 = -1.821255978. B5 = 1.330274429. C * exp( -x * x / 2.0 ) *. T *( t *( t * ( t * ( t * b5 b4 ) b3 ) b2 ) b1 ). 10 - RationalApproximation(1.0 / (1.0 p * x). PricingParameter...

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Functional Programming and Finance. Saturday, 6 December 2008. Black and Scholes formula. Here is an implementation of the Black and Scholes. Formula for simple and digital European options in F#:. Abramowitz and Stegun formula for the. Standard normal cumulative distribution. B1 = 0.319381530. B2 = -0.356563782. B3 = 1.781477937. B4 = -1.821255978. B5 = 1.330274429. C * exp( -x * x / 2.0 ) *. T *( t *( t * ( t * ( t * b5 b4 ) b3 ) b2 ) b1 ). 10 - RationalApproximation(1.0 / (1.0 p * x). PricingParameter...

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Functional Programming and Finance | it-quant.blogspot.com Reviews

https://it-quant.blogspot.com

Functional Programming and Finance. Saturday, 6 December 2008. Black and Scholes formula. Here is an implementation of the Black and Scholes. Formula for simple and digital European options in F#:. Abramowitz and Stegun formula for the. Standard normal cumulative distribution. B1 = 0.319381530. B2 = -0.356563782. B3 = 1.781477937. B4 = -1.821255978. B5 = 1.330274429. C * exp( -x * x / 2.0 ) *. T *( t *( t * ( t * ( t * b5 b4 ) b3 ) b2 ) b1 ). 10 - RationalApproximation(1.0 / (1.0 p * x). PricingParameter...

INTERNAL PAGES

it-quant.blogspot.com

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Functional Programming and Finance: December 2008

http://it-quant.blogspot.com/2008_12_01_archive.html

Functional Programming and Finance. Saturday, 6 December 2008. Black and Scholes formula. Here is an implementation of the Black and Scholes. Formula for simple and digital European options in F#:. Abramowitz and Stegun formula for the. Standard normal cumulative distribution. B1 = 0.319381530. B2 = -0.356563782. B3 = 1.781477937. B4 = -1.821255978. B5 = 1.330274429. C * exp( -x * x / 2.0 ) *. T *( t *( t * ( t * ( t * b5 b4 ) b3 ) b2 ) b1 ). 10 - RationalApproximation(1.0 / (1.0 p * x). PricingParameter...

2

Functional Programming and Finance: Black and Scholes formula

http://it-quant.blogspot.com/2008/12/black-and-scholes-formula.html

Functional Programming and Finance. Saturday, 6 December 2008. Black and Scholes formula. Here is an implementation of the Black and Scholes. Formula for simple and digital European options in F#:. Abramowitz and Stegun formula for the. Standard normal cumulative distribution. B1 = 0.319381530. B2 = -0.356563782. B3 = 1.781477937. B4 = -1.821255978. B5 = 1.330274429. C * exp( -x * x / 2.0 ) *. T *( t *( t * ( t * ( t * b5 b4 ) b3 ) b2 ) b1 ). 10 - RationalApproximation(1.0 / (1.0 p * x). PricingParameter...

3

Functional Programming and Finance: October 2008

http://it-quant.blogspot.com/2008_10_01_archive.html

Functional Programming and Finance. Friday, 17 October 2008. The aim of this blog is to show how one could implement financial mathematics models in a functional programming language. The examples are given in F#. A new .NET language based on Ocaml. In this first post, I will give an example of a simple Monte Carlo model for European options as we can find in the first chapters of Mark Joshi’s book, C design patterns and derivatives. OptionType = Call Put. OneBarrierOption: (call or put, strike, expiry).

4

Functional Programming and Finance: Monte Carlo simulation

http://it-quant.blogspot.com/2008/10/monte-carlo-simulation.html

Functional Programming and Finance. Friday, 17 October 2008. The aim of this blog is to show how one could implement financial mathematics models in a functional programming language. The examples are given in F#. A new .NET language based on Ocaml. In this first post, I will give an example of a simple Monte Carlo model for European options as we can find in the first chapters of Mark Joshi’s book, C design patterns and derivatives. OptionType = Call Put. OneBarrierOption: (call or put, strike, expiry).

5

Functional Programming and Finance: Computing confidence intervals

http://it-quant.blogspot.com/2008/11/computing-confidence-intervals.html

Functional Programming and Finance. Saturday, 29 November 2008. Of our first program. Generates a list of n simulated payoffs for a given option. Then, to estimate the price of the option, we compute its mean using the following function:. Compute the mean of a list. Mean list = Seq.fold 0.0 list / float (Seq.length list). In order to estimate the statistical error of this result, we define a function which computes the standard deviation of a list:. Compute the estimated standard deviation of a list.

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Functional Programming and Finance

Functional Programming and Finance. Saturday, 6 December 2008. Black and Scholes formula. Here is an implementation of the Black and Scholes. Formula for simple and digital European options in F#:. Abramowitz and Stegun formula for the. Standard normal cumulative distribution. B1 = 0.319381530. B2 = -0.356563782. B3 = 1.781477937. B4 = -1.821255978. B5 = 1.330274429. C * exp( -x * x / 2.0 ) *. T *( t *( t * ( t * ( t * b5 b4 ) b3 ) b2 ) b1 ). 10 - RationalApproximation(1.0 / (1.0 p * x). PricingParameter...

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