We are a small team of hard-core senior quants and quant developers, with years’ experiences in top-tier NL banks and insurance companies. We provide professional quantitative consulting services to banks, insurance companies and other financial institutions.
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 670+ 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.
SENIOR QUANT CONSULTANT, FOUNDER
Dr. Fang Fang is a senior quant consultant with 13 years hands-on experience in pricing model validation and risk model development at Tier-1 financial institutions in the Netherlands.
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 quantitative models for measuring risks on portfolio level (default and migration risk, market risk and counterparty credit risk), fast numerical methods for derivative pricing, machine learning methods applied in the field of computational Finance and/or econometrics, etc.
Courses she teaches/moderates include Option Valuation Methods, Computational Finance, Advanced Credit Risk Management (MOOC course joint prepared by TU Delft and Deliotte)
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 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.
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 regulatory risk models covering both credit and market risk (ING, ABN AMRO, MUFG Bank Europe).
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.
SENIOR QUANT CONSULTANT (EXTERNAL PARTNER)
Dr. Xiaoyu Shen is a senior quant consultant with 8+ years’ hands-on experiences in both market risk model development and pricing model validation.
Examples of market risk models/methodologies he has worked on include 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 market prediction models based on machine learning technics, VIX trading strategies, prediction models based on Bayesian inference, etc.
He has a PhD in Finance from VU University Amsterdam and still engages in academic research. His current research interests comprise efficient computational algorithms of risk measures and risk sensitivities of credit portfolios in multi-factor copula models.
JUNIOR QUANT, QUANT DEVELOPER
Arvind Nayak is a junior quantitative analyst with 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 C/CUDA accelerated applications for COS-DRC based methods. He is currently assisting the team to develop and maintain team libraries in Python.
9 years experience as a front office quant and risk model developer;
Studied Msc in Applied Mathematics from TU Twente, Financial Engineering track.
18 years experience as a quant, risk model developer and validator