Programs and Coursework

The roster of 25 courses is rigorous, deep and seamlessly integrated. The MSCF curriculum emphasizes the study and application necessary for career advancement within today’s global financial markets.

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Over the fall and spring semester of the year one, 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 the Interactive Brokers Traders Workstation's simulated trading environment.

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, S+ and R, C++ is incorporated into the curriculum and students create software in several courses.

Whether situated in Pittsburgh or New York, all lectures are recorded and made immediately available online to MSCF students.

Quantitative Finance at Carnegie Mellon University
In addition to the MSCF program, Carnegie Mellon offers interdisciplinary quantitative finance degrees at both the bachelor's and Ph.D level. These programs reflect the university's strategic investment across the broad spectrum of disciplines essential to this growing field.

Center for Computational Finance
The MSCF program works with the team at the Center for Computational Finance, housed in the Department of Mathematical Sciences.  The Center for Computational Finance hosts the Nash Lecture Series, which brings to campus distinguished researchers who have applied mathematical methods to solve problems in finance. Past lecturers were Robert Merton, Stephen Ross, Harry Markowitz and Darrell Duffie.