Quantitative Finance with OCaml
3 days ago
- OCaml offers a rare combination of expressiveness, compile-time correctness, and production-grade performance for quantitative finance, unlike Python (rapid prototyping) or C++ (raw speed).
- The book teaches quantitative finance through OCaml, covering derivatives pricing, risk management, credit modeling, trading algorithms, and financial infrastructure.
- A key differentiator is using OCaml's type system to eliminate entire classes of financial programming errors at compile time.
- Every concept is paired with production-quality OCaml code, and mathematical derivations are presented transparently rather than hidden in appendices.
- The text emphasizes building reusable, well-typed libraries that accumulate across chapters, treating performance and correctness as equally important.
- Coverage includes modern OCaml 5 features such as domains, effects, and OxCaml extensions.
- The book is organized into seven parts: foundations, fixed income, equity derivatives, credit, risk management, algorithmic trading/market microstructure, and advanced topics.
- Companion code is organized per chapter with directories for library modules, examples, exercises, and benchmarks, and can be built using dune and opam.
- The book provides extensive reference material including appendices on OCaml syntax, mathematics, financial glossary, development environment setup, and correctness-by-construction principles.
- Targeted at readers with either OCaml or finance experience, it allows skipping introductory chapters as needed.