Girolamo Vurro
Quantitative Specialist @Intesa Sanpaolo
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WORK HISTORY
Quantitative Specialist @Intesa Sanpaolo
Torino, IT
Implemented a Volatility Switch Regime model in Matlab, based on a hidden Markov chain. In order to find the unknown parameters of a hidden Markov model (HMM), I utilized the Baum–Welch algorithm- Developing the calculation engine which supports the webApp WePOG used in the structuring process of financial products- Developing and maintaining Matlab and Python libraries of quantitative models for the product governance of Structured Products and OTC Derivatives- Developing and maintaining Matlab libraries of quantitative models used to compute the metrics relative to PRIIPs which are summarised in the KIDs- Participating to internal comitees (relative to Structured Products, OTC Derivatives, Funds).
EDUCATION
EPFL
Master of Science in Financial Engineering
USI Università della Svizzera italiana
Bachelor's degree, Metodi Quantitativi e Finanza
Bell English Cambridge
University Foundation Programme
Liceo Scientifico A. Scacchi
High School Diploma
ABOUT GIROLAMO VURRO
I am an EPFL graduate in Financial Engineering. I am strongly interested in the application of technical methods in the financial sector. In particular, my interests include Machine Learning, Satatistics and Option Pricing.The technical abilities that I acquired during my studies, combined with the temperament and with the remarkable ability to work in a team that I developed as an athlete, are the relevant qualities that I put at the service of my profession.
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