Fang Fang

Fang Fang serves as a part-time Assistant Professor at TU Delft's Department of Applied Mathematics while maintaining an active role in the financial industry. After earning her PhD in Computational Finance from TU Delft in 2010, she developed the groundbreaking "COS method," which has become a widely adopted standard in the field with over 800 citations. Her research focuses on quantitative finance, particularly the fast calculation of portfolio-level financial risks, efficient numerical methods for derivative pricing, and machine learning applications in time series prediction. Since 2009, she has worked as a quantitative analyst in the banking sector, developing and validating risk models and derivative pricing models. In 2021, she returned to academia part-time at TU Delft, where she teaches undergraduate and graduate courses while supervising MSc theses. Her work bridges theoretical mathematics with practical applications in financial risk management, combining academic rigor with industry expertise.