In this presentation we will give an overview of our research in the field of efficient pricing of financial derivatives and computing risk measures. Our work is based on the COS method which is an efficient pricing method for financial derivatives, based on Fourier cosine expansions and the availability of the characteristic function. Next to plain vanilla options, we can price different payoff contracts, like Bermudan, Asian, or multi-asset options (all with L’evy processes for the underlying) with Fourier techniques, but we also deal with hybrid stochastic processes for which a characteristic function is not directly available. More recently, we have worked on wavelet based pricing methods, and also on accurate Fourier techniques within the context of credit portfolio losses.