Quantitative Finance with OCaml presents a complete, code-first introduction to building correct, high-performance financial systems using OCaml. It argues that OCaml combines expressiveness, a strong type system that prevents whole classes of errors at compile time, and runtime performance suitable for production trading - offering a middle ground between Python's prototyping speed and C++'s raw throughput. The material teaches derivative pricing, risk measurement and management, credit modeling, multi-asset and correlation models, algorithmic trading, and systems design, always pairing mathematical derivations with production-quality OCaml implementations and a consistent emphasis on performance and correctness.
The work is organized into seven parts (foundations; fixed income; equity and derivatives; credit and multi-asset; risk management; algorithmic trading; advanced topics) spanning 31 chapters plus extensive appendices (OCaml quick reference, math reference, glossary, setup, correctness by construction). Practical components include reusable libraries, worked examples, exercises, benchmarks, and companion code with build/test instructions. Coverage includes modern OCaml 5 features (domains, effects) and OxCaml extensions, a capstone trading-system project, and guidance for readers who already know OCaml or finance. Version 1.0 is dated February 2026.
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