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Over the fall and spring semester of the first year, students are taught traditional finance theories of equity and bond portfolio management, the stochastic calculus models on which derivative trading is based, computational methods including Monte Carlo simulation and finite difference approximations of partial differential equations, and statistical methodologies including regression and time series. Also provided is a "Presentations" course which provides one-on-one assistance in helping students better communicate their ideas before their peers, and the Deutsche Trading Competition which uses CMU's FAST software to emulate a trading environment with cash prizes awarded to the top traders at a special reception at Deutsche Bank. During the semester following the summer internship, students take courses in asset pricing, statistical arbitrage, risk management and dynamic asset management. The program concludes with a sophisticated financial computing course, an algorithmic trading competition, and a case-based presentation course in financial engineering. In addition to VBA, Matlab and S+ packages, C++ is incorporated into the curriculum and students create software in several courses.

Each of our twenty-five courses has been designed expressly for the MSCF program. For example, "Stochastic Calculus for Finance," taught by the Math Department, is not the stochastic calculus course offered to students in the Math Department, but rather a course that develops stochastic calculus within the context of models drawn from the financial services industry. "Credit Derivatives," “Statistical Arbitrage”, “Simulation Methods of Options Pricing,” “Linear Financial Models” - every one of our courses has been similarly designed.

We keep abreast of changes in the financial marketplace from our frequent contact with our recruiters, our alums, our professors as a result of their various research and consulting engagements, with market practitioners through the MSCF Speaker Series, and our periodic meetings with the MSCF Advisory Board. The MSCF Board is comprised of senior executives from the financial services industry (see column on right).

Research in quantitative finance at Carnegie Mellon is a campus-wide activity. This is fostered in part by the Center for Computational Finance housed in the Department of Mathematical Sciences. The research of Carnegie Mellon faculty affiliated with the Center brings them in contact with industry practitioners and facilitates updating the MSCF curriculum with the latest knowledge in quantitative finance.

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 '13-'14 MSCF Advisory Board

The MSCF Advisory Board is a group of senior financial executives that meets periodically with the MSCF Steering Committee to consider the strategic direction of the MSCF program, its curriculum and the needs of the industry.

Leif Andersen 
Managing Director 
Bank of America

Ian Domowitz
Managing Director
Investment Technology Group

Benjamin Carton
Managing Director

Alexander Eydeland 
Managing Director
Morgan Stanley

Thomas Hartnett
Managing Director

Keishi Hotsuki
Global Head
Morgan Stanley

Jon Kinol
Global Head
Credit Suisse

Marco Naldi
Managing Director

Paul Russo
Managing Director
Goldman Sachs

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