About Us – 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 15 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 900+ 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 as F-squared Quant and later in spring 2018 transformed into FF Quant B.V. Our scientific yet practical 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

A variety of quantitative risk models, both regulatory and non-regulatory

A portfolio selection approach that takes into account different risk indicators

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 Laboratory

Close collaboration with Delft University of Technology and Delft Fintech Lab.

The founder, Dr. Fang Fang, is a part-time Assistant Professor in the Department of Applied Mathematics. She is also a member of Delft Fintech Lab.
Partner Dr. Shen Xiaoyu is a visiting researcher in the Department of Applied Mathematics.

Our Team

Dr. Fang Fang

SENIOR QUANT CONSULTANT

(FOUNDER)

Dr. Fang Fang is a senior quant analyst and a modelling expert, with 15+ 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. Xiaoyu Shen

SENIOR QUANT CONSULTANT (PARTNER)

Dr. Xiaoyu Shen is a senior quant analyst/developer and a modelling expert with 11+ 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.

Dr. Chenggang Shen

SENIOR QUANT DEVELOPER

(PARTNER)

Dr. Chenggang Shen is a senior front-office quant developer with 9+ 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.

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. Lukasz Karwacki

QUANT CONSULTANT

Dr. Lukasz Karwacki is a quantitative analyst/developer with a PhD in physics. He had 7+ years experiences as a researcher/assistant professor in academia and rich experience in mathematical modelling and implementation.

In 2025 he joint FF Quant as a quantitative analyst, supporting both the consulting business line and the research and development business line.

Victor Veenman

JUNIOR QUANT CONSULTANT

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

He did his thesis at FF Quant in 2024, where he explored the application of dimension-reduction techniques for pricing PDEs of barrier options under stochastic volatility model. After the Msc study, he joined FF Quant as a junior quant consultant. He is dedicated to developing innovative financial solutions for FF Quant’s clients.