I agree with Don Sharpe's ...

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I agree with Don Sharpe's answer, except to note that because formaldehyde is relatively polar, it has a very low Henry's constant, thus, it will not air strip out of the water as readily as it may seem due to it's low molecular weight.  

If the concentration is low (say under a few mg/l), you can also consider advanced chemical oxidation, such as UV and hydrogen peroxide or ozone and hydrogen peroxide, and others.