Quantitative Analyst (Authorized Officer) @ UBS | Ex-Reserve Bank of India | Founder @ Desk2Quant
Front-Office XVA & Risk Quant • Top 1% Topmate Creator (1,460+ Sessions) • Derivatives Pricing • Stochastic Calculus • Deep BSDEs
- 🚀 Founder @ Desk2Quant: Building the premier interactive Quantitative Finance platform — democratizing derivatives pricing, stochastic calculus labs, and front-office quant interview preparation.
- 🏆 Top 1% Topmate Mentor (1,460+ Sessions): Completed over 1,460+ 1-on-1 mentorship & consulting bookings on Topmate (People's Choice Award & Community Care Badge holder), guiding software engineers, physicists, and quants worldwide.
- 🏦 Quant @ UBS (Mumbai): 3+ years optimizing counterparty credit risk (CCR) models, exposure profiling (PFE/EPE/EE), Repo VaR IMA regulatory frameworks, and risk factor backtesting across Equities, FX, Rates, and Credit.
- 🏛️ Ex-Research Analyst @ Reserve Bank of India: Modeled market microstructure inefficiencies on 3 TB+ tick data for central bank policy research and intraday signal analysis.
- 🎓 Academic Excellence: M.Sc. in Digital Humanities (Computational Economics & Quantitative Finance Track) from IIT Jodhpur (CGPA 8.8/10, GATE AIR 180) & B.Sc. (Hons.) in Physics from Jamia Millia Islamia (CGPA 8.5/10, IIT JAM AIR 1160).
- 🔬 Published Researcher: Author of preprints on market microstructure via stochastic thermodynamics (arXiv:2512.03123), short-rate dynamics (arXiv:2506.06317), and SSRN banking econometrics.
- 🛠️ Engineering & Tooling: Production Python, C++, kdb+/Q, R (CRAN Package Author), Databricks/Spark processing 1B+ rows, and AST/LLM Developer Productivity agents.
⚡ Thermodynamic-BSDE-XVA-Engine (New Novel Project)
- Tech: Python, PyTorch, SciPy, NumPy, Matplotlib
- Mathematical Novelty: Solves high-dimensional nonlinear Backward Stochastic Differential Equations (BSDEs) for CVA, DVA, FVA, MVA, KVA under collateralized netting. Integrates stochastic thermodynamics entropy production to verify no-arbitrage bounds and performs KL-divergence optimal transport volatility surface repair.
🌐 Desk2Quant — Quantitative Finance & Mentorship Platform (Founder & Architect)
- Live App: desk2quant.vercel.app | Mentorship: topmate.io/amit_kumar_jha
- Impact: 1,460+ mentorship bookings • Interactive Quant Labs • Derivatives Pricing
- Next-gen interactive platform empowering engineers and quants to master options Greeks, stochastic calculus labs, XVA valuation engines, and high-frequency market microstructure.
- Tech: Python, QuantLib, NumPy, SciPy
- Comprehensive valuation engine for CVA, DVA, FVA, MVA, KVA, XVA Sensitivity Greeks, and Wrong-Way Risk (WWR) under Monte Carlo simulation. Includes collateralized exposure profiling and netting set dynamics.
📦 CustomDerivative (CRAN Package)
- Tech: R, CRAN, C++
- Production-grade R package on CRAN for pricing exotic derivatives. Implements 15+ numerical methods, Monte Carlo path generation, and finite-difference PDE schemes.
- Tech: Q/kdb+, Tick Architecture
- Ultra-low-latency tick data engine analyzing 10M+ quotes/trades. Calculates intraday bid-ask spread dynamics, market maker inventory risk, and high-frequency order flow imbalance.
| Title | Track / Venue | Abstract / Link |
|---|---|---|
| A Stochastic Thermodynamics Approach to Price Impact and Arbitrage | Market Microstructure | arXiv:2512.03123 — Physics-based framework for market microstructure using entropy production and fluctuation theorems. |
| A Sinusoidal Hull-White Model for Interest Rate Dynamics | Interest Rate Modeling | arXiv:2506.06317 — Extended Hull-White model with sinusoidal mean-reversion, calibrated to 30 years of US Treasury data. |
| Digitization Impact on Indian Banking Assets (2009-19) | Computational Econometrics | SSRN: 4164875 — Fixed-effects panel regression & Lerner index estimation on 90% of Indian banking assets. |
┌──────────────────────────────┬─────────────────────────────────────────────────────────────┐
│ Category │ Tools & Frameworks │
├──────────────────────────────┼─────────────────────────────────────────────────────────────┤
│ Quantitative Finance │ CVA/DVA/FVA/MVA/KVA, PFE/EPE/EE, SA-CCR, Repo VaR IMA, │
│ │ ISDA SIMM, Wrong-Way Risk, Monte Carlo, Deep BSDEs, PDEs │
├──────────────────────────────┼─────────────────────────────────────────────────────────────┤
│ Programming Languages │ Python, C++, R, kdb+/Q, SQL, LaTeX, Bash │
├──────────────────────────────┼─────────────────────────────────────────────────────────────┤
│ Mentorship & Mentorship Stack│ Topmate (Top 1% Creator, 1,460+ Sessions), Desk2Quant Platform│
├──────────────────────────────┼─────────────────────────────────────────────────────────────┤
│ Libraries & Engines │ PyTorch, QuantLib, PySpark, NumPy, SciPy, Pandas, Numba │
└──────────────────────────────┴─────────────────────────────────────────────────────────────┘
- 🎯 1-on-1 Mentorship: topmate.io/amit_kumar_jha (Book a session for Quant Finance, Career Transition & Resume Reviews)
- 🌐 Quant Platform: desk2quant.vercel.app
- 💼 LinkedIn: linkedin.com/in/akjha002
- 📧 Email: jha.8@alumni.iitj.ac.in
- 🐙 GitHub Profile: github.com/AIM-IT4
“In mathematics you don't understand things. You just get used to them.” — John von Neumann