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F# for Quantitative Finance by Johan Astborg

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Chapter 3. Financial Mathematics and Numerical Analysis

In this chapter, the reader will be introduced to the basic numerical analysis and algorithm implementation in F#. We will look at how integer and floating-point numbers are implemented, and we will also look at their respective limitations. The basic statistics are covered, and the existing functions in F# are studied and compared with custom implementations.

This chapter will build up the foundation of numerical analysis that can be used when we look at option pricing and volatility later on. We'll also use some of the functionality covered in the previous chapter to implement the mathematical functions for aggregate statistics and to illustrate their usefulness in real life.

In this chapter, ...

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