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MSc in Computational Finance

Carnegie Mellon: Tepper, In Pittsburgh (+1 locations)
16 months
16 months
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Program description

MSc in Computational FinanceThe Master in Computational Finance program (MSCF) at Carnegie Mellon offers a full-time computational finance graduate degree available in both Pittsburgh, PA and New York, NY. We have approximately forty, full-time students in the Pittsburgh program, and approximately thirty-five, full-time students in the New York program.

The primary mode of instruction for the New York campus is live, interactive video. Faculty teach a minimum of twice every seven weeks in New York at which times the students are invited to join the professor for a social event after class. Whether situated in Pittsburgh or New York, all lectures are "captured" and made immediately available to MSCF students via the internet.

Application and Admission Requirements

MSCF is a sophisticated, rigorous course of instruction. Outstanding academic credentials are necessary for admission to the program. Applicants should hold an undergraduate degree in a technical discipline such as mathematics, computer science, engineering or economics. Successful applicants will have taken at least two full semesters of study in differential and integral calculus, the calibre of which is required of engineering, math or science majors (ordinary differential equations, linear algebra, and a calculus based probability course). Applicants should have strong academic performance in mathematics and statistics coursework.

Relevant professional experience is preferred but not required and Applicants must be fluent in a general purpose programming language such as C.

MSc in Computational Finance course of study

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.

Carnegie Mellon: Tepper
Tepper School of Business
PA 15213 Pittsburgh

The Tepper School of Business at Carnegie Mellon, located in Pittsburgh, Pennsylvania, consistently ranks among the top business schools in the world. In 2007, the Wall Street Journal ranked the Tepper School #5 among the top MBA programs in the U.S.,...

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