class AmitKumarJha:
role = "Quantitative Analyst (Authorized Officer) @ UBS, Mumbai"
previously = "Research Analyst @ Reserve Bank of India"
founder_of = "Desk2Quant — interactive quant finance platform"
mentoring = "Top 1% Topmate creator · 1,460+ sessions"
education = ["M.Sc. @ IIT Jodhpur (Computational Economics & Quant Finance)",
"B.Sc. (Hons.) Physics @ Jamia Millia Islamia"]
focus = ["CVA/DVA/FVA/MVA/KVA", "PFE/EPE/EE", "Repo VaR IMA",
"Derivatives pricing", "Stochastic calculus", "Deep BSDEs"]- 🏦 UBS — 3+ years on counterparty credit risk: exposure profiling (PFE/EPE/EE), Repo VaR IMA, and risk-factor backtesting across Equities, FX, Rates and Credit.
- 🏛️ Reserve Bank of India — market-microstructure research on 3 TB+ of tick data for policy research and intraday signal analysis.
- 🚀 Desk2Quant — options Greeks, stochastic-calculus labs, XVA engines and front-office interview prep in one platform.
- 🎯 Topmate — 1,460+ 1-on-1 sessions with engineers, physicists and quants worldwide (People's Choice Award · Community Care Badge).
- 🎓 IIT Jodhpur M.Sc. (CGPA 8.8, GATE AIR 180) · Jamia Millia Islamia B.Sc. Physics (CGPA 8.5, IIT JAM AIR 1160).
I fix pricing bugs and add regression tests in the libraries quants use every day.
|
Solves high-dimensional nonlinear BSDEs for CVA, DVA, FVA, MVA, KVA under collateralised netting, uses stochastic-thermodynamics entropy production to check no-arbitrage bounds, and repairs volatility surfaces with KL-divergence optimal transport.
|
Interactive quant finance platform: options Greeks, stochastic-calculus labs, XVA valuation engines and high-frequency microstructure — built for engineers moving into quant roles.
|
|
Monte Carlo valuation of CVA, DVA, FVA, MVA, KVA, XVA sensitivities and wrong-way risk, with collateralised exposure profiles and netting-set dynamics.
|
📦 CustomDerivative · CRANR package on CRAN for pricing derivatives: Black-Scholes-Merton, Monte Carlo with variance reduction, Asian and barrier payoffs, and finite-difference Greeks.
|
|
Tick-data engine in kdb+/Q over 10M+ quotes and trades: intraday spread dynamics, market-maker inventory risk and order-flow imbalance.
|
My most-starred repo: notebooks on derivative-pricing models, lattices, finite differences, credit models and stochastic processes.
|
| Paper | Area | Link |
|---|---|---|
| A Stochastic Thermodynamics Approach to Price Impact and Arbitrage | Market microstructure | arXiv:2512.03123 |
| A Sinusoidal Hull-White Model for Interest Rate Dynamics | Interest-rate modelling | arXiv:2506.06317 |
| Digitization Impact on Indian Banking Assets (2009–19) | Computational econometrics | SSRN 4164875 |
Domain: CVA · DVA · FVA · MVA · KVA · PFE/EPE/EE · SA-CCR · Repo VaR IMA · ISDA SIMM · Wrong-way risk · Monte Carlo · PDEs · Deep BSDEs
🎯 Book a 1-on-1 — quant careers, interview prep, resume reviews · 🌐 Desk2Quant · 💼 LinkedIn · 📧 Email
“In mathematics you don't understand things. You just get used to them.” — John von Neumann