Fang Fang

FF Quant Advisory

De Corridor 5

Breukelen, 3621ZA

Netherlands

http://https://fsquaredquant.nl/

Delft University of Technology

Stevinweg 1

Stevinweg 1

Delft, 2628 CN

Netherlands

  • FF Quant Advisory

  • Delft University of Technology

SCHOLARLY PAPERS

4

DOWNLOADS

1,644

SSRN CITATIONS
Rank 40,134

SSRN RANKINGS

Top 40,134

in Total Papers Citations

17

CROSSREF CITATIONS

4

Scholarly Papers (4)

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1.

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options Under Levy Processes

Number of pages: 23 Posted: 28 Feb 2007
Roger Lord, Fang Fang, Frank Bervoets and Cornelis W. Oosterlee
Cardano Risk Management, FF Quant Advisory, Rabobank International, London Branch and Utrecht University - Faculty of Science
Downloads 1,086 (35,238)
Citation 18

Abstract:

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Option pricing , Bermudan options, American options, convolution, Lévy processes, Fast Fourier Transform

2.

A New and Efficient Fourier Method for Risk Quantification and Allocation of Credit Portfolios

Number of pages: 35 Posted: 18 Jul 2022 Last Revised: 10 Oct 2022
Fang Fang, Xiaoyu Shen and Chujun Qiu
FF Quant Advisory, FF Quant Advisory and Tsinghua University
Downloads 261 (201,003)

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credit portfolio loss, factor copula models, Euler allocation, Value-at-Risk, expected shortfall, Fourier-cosine method, Gibbs phenomenon

3.

Fast Valuation and Calibration of Credit Default Swaps Under Levy Dynamics

Number of pages: 22 Posted: 22 Jun 2010
Fang Fang, Henrik Jönsson, Cornelis W. Oosterlee and Wim Schoutens
FF Quant Advisory, European Institute for Statistics, Probability, Operations Research and their Applications (EURANDOM), Utrecht University - Faculty of Science and KU Leuven - Department of Mathematics
Downloads 200 (260,237)
Citation 4

Abstract:

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Levy processes,Credit risk, Default probability, Credit Default Swaps, Fourier-cosine expansion

4.

Fast Calculation of Counterparty Credit Exposures and Associated Sensitivities Using Fourier Series Expansion

Number of pages: 26 Posted: 18 Jun 2023 Last Revised: 27 Nov 2023
Gijs Mast, Xiaoyu Shen and Fang Fang
Delft University of Technology, FF Quant Advisory and FF Quant Advisory
Downloads 97 (468,219)

Abstract:

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Potential Future Exposure, XVA, Expected Exposure, Fourier-cosine Series Expansion, Fourier-sine Series Expansion, the COS Method, Counterparty Credit Risk