FF Quant Advisory

Our Vision

We are a small team of hard-core quantitative experts, with many years’ experience in top-tier NL banks, insurance companies and other financial institutions. We help financial institutions with the development and prototyping of new products/models as well as the validation/improvement on existing models.

The founder, Dr. Fang Fang is a senior Quant with 14 years’ experience in risk and pricing model development and validation. She holds a PhD in Applied Mathematics from the Delft University of Technology. Her first paper on her original numerical method, the COS method, has gained 700+ citations since 2008. The method is also popular among practitioners around the world. Her research activities did not stop after she entered the financial industry as a quant.

This firm was founded in summer 2016. Our scientific yet pratical attitude in research and model development is what we are particularly proud of as a professional quant and development team. In 2020 we started the tooling business line next to the consultancy business, aiming to serve our clients even more efficiently with readily-available tools and prototypes.

Our Expertise



Research, Development and Validation of

Counterparty Credit Risk models
Mark-to-Market pricing for financial instruments across different asset classes
Market risk, credit risk, liquidity risk and ALM models
Time series analysis and prediction: second-by-second, minutes to hourly, or daily or longer-term movements
Other topics: data analysis and pattern detection, Backtesting of trading strategies, application of machine learning methods for different purposes, etc.

Our Team


Dr. Fang Fang




Dr. Fang Fang is a senior quant consultant and a modelling expert, with 14 years hands-on experience in pricing model validation and risk model development at Tier-1 financial institutions in the Netherlands.

In recent years she has also been involved in versatile time series statistics and/or data engineering models, such as pattern recognition, market prediction, data backfilling, etc. using both econometrics and machine learning methods.

She obtained a PhD in Computational Finance from TU Delft in 2010, based on the innovation of “the COS method”. Since 2021 she has been working for TU Delft as a part-time assistant professor. 

Her research interest lies in improving numerical methods and models for 1) risk quantification and allocation, 2) derivative pricing and 3) time series predictions.

Courses she teaches/moderates include Computational Finance (Msc), Advanced Credit Risk Management (MOOC course joint prepared by TU Delft and Deliotte) and Introduction of Credit Risk Management (MOOC by TU Delft).


Dr. Chenggang SHEN



Dr. Chenggang Shen is a senior front-office quant developer with 8 years of hands-on experience (ING and NN). He is specialized in developing and maintaining production level pricing engines for reporting the MtM values of large trading or pension product portfolios. 

He masters a number of programming languages such as C++, C#, VBA and Python. In recent years, he got involved in building various market risk models in Python together with building a GUI using Java script. He also has good knowledge on various risk topics and holds the FRM certification since 2015. In 2022 he also helps a client as a quant risk manager.  

Before entering the financial industry, Chenggang worked as a Post Doc researcher in Applied Physics of TU Delft. And he holds a PhD in Microelectronics from the same institution.


Dr. Jakob Jan Bosma



Dr. Jakob Bosma is a senior quant consultant with 8 years of experience in pricing model validation for Vanilla and Exotic interest rate derivatives; model development in the context of FRTB and credit risk IFRS9; and validation of internal and regulatory risk models covering both credit and market risk (ING, ABN AMRO, MUFG Bank Europe). Recent projects comprise the execution and supervision in validations for Risk-Not-In-Model impact calculations and an internal XVA Risk model.

He holds a PhD in economics from the University of Groningen with a focus on applications in game theory and econometrics. He is comfortable contributing to team libraries in C++ and Python, and with an econometric background able to handle large datasets and their limitations in Matlab, SAS, R or Stata.

He maintains a part-time assistant professor position at the University of Groningen where he teaches institutional investment management in the economics, econometrics and finance department and supervises a number of master thesis projects.


Dr. Xiaoyu Shen



Dr. Xiaoyu Shen is a senior quant consultant with 10 years’ hands-on experiences in both market risk model development and pricing model validation. 

Examples of risk models/methodologies he has worked on include Counterparty Credit Risk (CCR), Incremental Risk Charge (IRC) under Basel III, Default Risk Charge (DRC) and other statistical models in the FRTB framework, Funding Valuation Adjustment (FVA), etc.

Examples of pricing models he has independently validated/tested include FX, credit and IR (interest rate) asset classes.  

Various other quantitative models he has worked on include high frequency FX (e-trading) models, VIX trading strategies, and time-series prediction models using Machine Learning and econometric methods, etc.  

He has a PhD in Finance from VU University Amsterdam and still engages in academic research. His current research focuses in computational statistics with various applications.

Bio Photo

Marnix Brands


Marnix Brands is a junior quantitative analyst. He holds a Master’s degree in Applied Mathematics with a specialization in Financial Engineering from Delft University of Technology. 

He recently completed his thesis at FF Quant, where he explored the application of dimension-reduction techniques for efficient Counterparty Credit Risk validation and Multi-asset Option Pricing. 

With his expertise in quantitative analysis, Marnix brings a strong analytical skillset to the team and is dedicated to developing innovative financial solutions for FF Quant’s clients.


Yanan Dai
(Ph.D candidate)


Yanan Dai is a junior quantitative analyst (trainee program). He is a 4-th year PhD student in Applied Mathematics of Tsinghua University (China) with a specialization in probability theory, researching the control theory of Markov Decision Processes.

Previously, he interned at Tailai Fund Management, focusing on reproducing Barra China A Total Market Equity Trading Model. Current projects include Counterparty Credit Risk validation and in-house benchmark engine development. 


Panagiotis Nikolopoulos

senior Quant, QUANT Developer
(external Partner)

10 years experience as a front office quant and risk model developer;

Studied Msc in Applied Mathematics from TU Twente, Financial Engineering track.


Rutger Pijls

senior Quant (External Partner)

19 years experience as a quant, risk model developer and validator

Collaboration Partner

Contact Us

 Office Address:

De Corridor 5, room 13, 3621 ZA Breukelen, the Netherlands


(+31) 0633 80 7226


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