Welcome to Fang Fang's Homepage
Fang Fang (CV)
Delft Institute of Applied Mathematics (DIAM), TU Delft
Room: HB 7.290, Mekelweg 4, 2628 CD Delft, The Netherlands
Tel.: +31 15 2788283
Fax: +31 15 2787209
Email: f.fang@tudelft.nl
Hi ~~~
I am a 3rd-year PhD student of Numerical Analysis group, Delft Institute of Applied Mathematics (DIAM), Delft University of Technology, the Netherlands. My research focuses on computational finance. My interest lies in developing highly efficient numerical algorithms as well as tackling numerical challenges in pricing vanilla and exotic options, CDSs, etc.
* Research papers
Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions. June, 2008, joint work with Prof. Dr. Ir. C.W. Oosterlee, submitted.
A novel pricing method for European options based on Fourier-cosine series expansions March, 2008, joint work with Prof. Dr. Ir. C.W. Oosterlee, submitted.
"Characteristic Function of Hybrid Heston-Hull-White Model for Stochastic Volatility and Stochastic Interest Rates" , Nov. 2007, joint work with B. Janssens, Working paper for ING's problem raised in Study Group Mathematics with Industry 2007
A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under L'evy Processes June, 2007, joint work with R. Lord, F. Bervoets and C.W. Oosterlee, to appear in SIAM SISC.
* Attended conferences
2nd International ConferenceonNumerical Methods for Finance
6th International Congress onIndustrial and Applied Mathematics
ICCS 2007 : Advancing Science and Society through Computation
The SIAM Workshop on Combinatorial Scientific Computing (CSC07)
* Other activities: