Matteo Porro
About Matteo Porro
Matteo Porro is a Senior Quant Developer at TradingHub, where he has worked since 2018. He holds a Ph.D. in Computational and Applied Mathematics and has extensive experience in developing financial software and managing quantitative projects.
Work at TradingHub
Matteo Porro has been employed at TradingHub as a Senior Quant Developer since 2018. In this role, he is responsible for the daily calibration of in-house models related to interest rate and foreign exchange risk factors. He delivers results within three hours of receiving market data. His work involves developing proprietary software for calculating XVA metrics and Initial Margin requirements, utilizing GPUs and Monte Carlo simulations.
Education and Expertise
Matteo Porro holds a Bachelor of Science (BSc) in Mathematical Engineering from Politecnico di Milano, which he completed from 2004 to 2008. He furthered his education with a Master of Science (MSc) in the same field from 2008 to 2010. He earned a Doctor of Philosophy (Ph.D.) in Computational and Applied Mathematics from Politecnico di Milano between 2011 and 2014. Additionally, he studied at Chalmers University of Technology for one year in 2008-2009.
Background
Before joining TradingHub, Matteo Porro worked as a Quant Developer at Global Valuation Ltd from 2015 to 2018 in London. He also served as a Teaching Assistant at Politecnico di Milano from 2011 to 2015. Earlier in his career, he was a Research Intern at IIT - Istituto Italiano di Tecnologia for six months in 2011, located in the Milan Area, Italy.
Achievements
Matteo Porro has led proof-of-concept projects for a new Initial Margin Synchronisation Service, receiving high approval and satisfaction rates from counterparties. He redesigned interest rate bootstrap algorithms to enhance curve quality and coverage, incorporating currency-specific routines and splines. Additionally, he implemented a payoff smoothing technique to minimize discrete model artifacts in pricing routines.
Management and Technical Support
In his previous role at Global Valuation Ltd, Matteo Porro managed and supervised two junior staff members, which included recruitment and interviewing candidates. He also provided technical support for clients, addressing bug reports and responding to inquiries, demonstrating his ability to communicate effectively and support team members.