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 13 years’ experience in risk model development and pricing and risk model validation (ING, Rabobank International, Aegon Asset Management). 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.
She founded this firm in summer 2016. The scientific yet pratical attitude in research and model development is what we are particularly proud of as a professional quant consulting firm. In the past two years, we started the tooling business line along with the consultancy business line, 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
SENIOR QUANT CONSULTANT, FOUNDER
Dr. Fang Fang is a senior quant consultant and a modelling expert, with 13 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
SENIOR QUANT DEVELOPER / QUANT RISK MANAGER
Dr. Chenggang Shen is a senior front-office quant developer with 7 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
SENIOR QUANT CONSULTANT
Dr. Jakob Bosma is a senior quant consultant with 7 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
SENIOR QUANT CONSULTANT (EXTERNAL PARTNER)
Dr. Xiaoyu Shen is a senior quant consultant with 9 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.
Arvind Nayak (dual Msc)
JUNIOR QUANT
Arvind Nayak is a junior quantitative analyst with 1-year working experience. He has a dual MSc in Applied Mathematics and Scientific Computing from TU Berlin and TU Delft, with a specialization in numerical analysis.
Previously, he interned at ING Amsterdam under the Structured Products team with GPU (C/CUDA) accelerated applications for COS-DRC based methods. It is a fast approach to calculate risk metrics and risk allocations for credit portfolios.
At FF Quant, he has worked on credit-portfolio risk allocation, high frequency FX (e-trading) models, time-series prediction models using Machine Learning methods, etc.
Yanan Dai (Ph.D candidate)
JUNIOR QUANT (TRAINEE PROGRAM)
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)
9 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)
18 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
Telephone:
(+31) 0633 80 7226