Full-Time MSCF

The 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 degree is a sixteen month, three-semester course of study.

Carnegie Mellon MSCF degree students are taught the institutional issues of finance, traditional finance theories of equity and bond portfolio management, the stochastic calculus models on which derivative trading is based, the application of these models in both fixed income and equity markets, computational methods including Monte Carlo simulation and finite difference approximations of partial differential equations, and statistical methodologies including regression and time series, culminating with courses on statistical arbitrage, model calibration, and dynamic asset management. In the initial stages of the program, C++ is taught and students subsequently create software in several courses. In addition, a "Presentations" course provides one-on-one assistance in helping students better present before an audience while the MSCF Deutsche Trading Competition uses CMU's FAST software to emulate a virtual trading environment with cash prizes awarded in January at a reception at Deutsche Bank in New York. The program concludes with a sophisticated financial computing course and a capstone financial engineering case study course.

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.

With few execptions, students graduating from the MSCF program pursue careers in Derivatives Sales and Trading, Structured Products, Quantitative Portfolio Management,  Risk Management, and Financial Analytics.