2010 11 mscf brochure

Tepper School of Business

Department of Mathematical Sciences

Department of Statistics

Heinz College

www.cmu.edu/mscf

Clemence Mauchamp ! MSCF 2004Merrill Lynch and Co., Inc.Vice President, Strategic Solution Group London

As a student of quantitative finance, you will be immersed in mathematics, statistics and finance. You will use impressive computing tools to define and model the dynamic relationship between value and uncertainty. Your search for the right financial engineering program should not be as difficult.

Carnegie Mellon, known worldwide for its expertise in computer science, math and applying the tools of quantitative analysis to business, created the first computational finance degree in 1994. Although there are now many other programs, Carnegie Mellon’sMSCF degree remains the industry standard and the top programof its kind.

Our integrated curriculum, made possible by the interdisciplinaryjoint venture of four Carnegie Mellon colleges, is designed specifically for the MSCF program. Our students’ impressive jobplacement record, both in summer internships and in full-time jobs,attests to the high regard global financial services firms have for the unparalleled preparation we provide.

Few universities have the advantages Carnegie Mellon enjoys, and none, we believe, offer a program as passionately or as well.

We welcome your interest in the MSCF program.

Richard BryantExecutive DirectorComputational Finance ProgramMSCF Steering Committee

1994&1995

“In addition to providing a solid foundation in thefundamentals of quantitativefinance, our graduatespossess the high-level skillsand conceptual framework required to find innovativesolutions for the challengesfaced by the ever-changingand increasingly complex financial services industry.”

www.cmu.edu/mscf 1

First of its kind Leveraging its strengths in finance,mathematics, statistics and computing,Carnegie Mellon pioneered the financial engineering degree in Pittsburgh in1994 and in New York in 1995.

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> MSCF: quantifiably different

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Carnegie Mellon’s MSCF degree mirrors the new Wall Street reality in which the disciplines of finance, mathematics, statisticsand computer science are inextricably linked.

The MSCF program builds upon your strong quantitative and computing

skills, adding a broad conceptual framework and grounding in quantitative

finance. You emerge with a deep understanding of financial markets and

their mathematical underpinnings.

MSCF’s combination of coursework and industry exposure prepares you for

a career in quantitative finance with investment banks, mutual funds, hedge

funds, trading firms and insurance companies. Most commonly, MSCF

graduates take positions in derivatives trading, risk management, structured

products, quantitative portfolio management and financial analytics.

The Dual Degree: a rare option for your career advantage

For individuals seeking a broad management curriculum in addition to the

highly focused MSCF curriculum, Carnegie Mellon offers a five-semester

dual degree MBA/MSCF in Pittsburgh. Building on MSCF courses in finance,

stochastic calculus models, computational methods and statistical analytics,

the dual is further broadened by a host of MBA marketing, strategy,

communications and operations courses. For a career in financial services,

the dual degree offers the best of both academic worlds.

Visit www.tepper.cmu.edu/mscfdualdegree for more information.

“Having built and led aninvestment team that managedmore than $75 billion in core fixed assets, I knowfirsthand the importance of a program that preparesstudents for success withinthe financial services industry.Our MSCF graduates arewidely recognized for theirexceptional analytical insight.”

Kenneth B. DunnDean, Tepper School of BusinessProfessor of Financial Economics

!two campuses >design > faculty > career >Why MSCF?

> Why quantitative finance?

>

2121 full-time faculty, representing four Carnegie Mellon colleges, teach in the MSCF program.

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> About Us

New to the field of Computational Finance?The field of computational finance – or financial engineering, as it’s

often called – emerged in New York and London about 20 years ago.

Large investment banks and other financial services firms began creating

and trading specialized financial instruments to address corporate risk

management as well as to manage and profit from market volatility.

As the industry began to better anticipate and understand price

movement related to complex financial instruments, it also began

seeking people with exceptional mathematical, statistical and

programming skills. These experts harness an interdisciplinary mix

of training and aptitudes to create physics-inspired models within

the world of finance.

Trading up for greater impact?Many MSCF students currently work within the quantitative finance

field and pursue an MSCF degree to accelerate their careers. Whether

full-time or part-time, they see our degree as the way to acquire a

larger and more powerful set of skills.

The MSCF degree can help open doors in trading, product structuring,

financial analytics, risk management and more. You will join a select and

influential group of graduates and tap into a vibrant alumni network.

Carnegie Mellon M

SCFI Tepper School of Business I Departm

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ollege

Gabriel Segredo ! Dual Degree: MBA/MSCF 1998

“The dual degree has given me therigor, technology awareness andmanagement skills I was seeking. Over the past decade, these factors have been essential as I’ve faced challenges in the ever-changing and often turbulent arena of capital markets.”

www.cmu.edu/mscf 2/3

Gabriel Segredo ! Dual Degree: MBA/MSCF 1998Rabobank InternationalDirector, Structured ProductsLondon

Carnegie Mellon’s intensive, 16-month financial engineering degree is considered by many financial services firms and academicians to be the top program in the country. The successand reputation of our graduates on Wall Street, London, HongKong and elsewhere confirm our integrated approach.

Campus-wide, full-time commitment

From the start, Carnegie Mellon designed its MSCF program as a fully

integrated and cohesive venture. Four colleges joined to create and deliver

a customized course of study, tailor-made for the computational finance

student. For example, Stochastic Calculus for Finance draws from current

practice in the financial services industry and is designed specifically for the

MSCF program. The same is true for Credit Derivatives, Statistical Arbitrage,

Simulation Methods of Options Pricing, Linear Financial Models – truly,

every course within the curriculum.

You will learn financial mathematics, statistics, computing and finance

from full-time faculty, teaching within their respective disciplines and research

interests. Many of our faculty gain broad industry and market exposure

through consulting engagements with leading financial services firms.

!two campuses >design faculty > career >Why MSCF? >

> MSCF: better by design

“Carnegie Mellon is a small research university that cannotafford barriers between departments. We choose notto do everything. Yet, in thoseareas where we choose to be a player, we are among theworld’s best.”

Steven ShreveOrion Hoch Professor of Mathematical Sciences

Mellon College of ScienceMSCF Co-FounderMSCF Steering Committee

MSCF

A degree of difference While the terms quantitative finance,computational finance, mathematical finance and financial engineering are often used interchangeably, it’s important to note subtle, but significant,differences in meaning. Financial Engineering programs often emphasizefinance and financial markets at the expense of more rigorous computingand quantitative skills. Some mathematical finance programs focus on math at the expense of real-worldapplication. Few programs embed computation in their curricula. CarnegieMellon’s MSCF degree delivers awell-balanced and carefully coordinatedmix of applied finance courses, alongwith quantitative depth andcomputation.

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Do your MSCF homeworkNot all financial engineering degrees deliver the same value.

> Is the program isolated in one department or top-heavy in

math or finance?

> Will you benefit from a customized curriculum that is designed

specifically for the program?

> Will you benefit from full-time faculty teaching in their areas

of research interest?

> Does the program offer dedicated career services support and work

closely with the key corporate recruiters within the

industries/companies that match your career goals and interests?

> Will you enjoy a program with many years of experience in

shaping its curriculum and the career success of its students?

> Will you be participating in a program nationally recognized

as an innovator within the industry?

A campus without bordersInterdisciplinary programs such as MSCF flourish at

Carnegie Mellon.

> Our small size facilitates faculty interaction. Faculty from a range of

disciplines are encouraged to reach outside their own departments.

> Academic deans actively seek out new opportunities to match

departmental strengths with academic complements from other

schools on campus.

> Incentives align with this collaboration, rewarding the broader scope

of scholarly work and research, not narrow departmental goals.

Carnegie Mellon MSCF:> Tepper School of Business

> Department of Mathematical Sciences

> Department of Statistics

> Heinz College

> Carnegie Mellon MSCF

Carnegie Mellon M


ent of Mathem



ollege

Michelle Ruvolo ! MSCF 2009

“In addition to providing me with the technical skills necessary to advance my career, the MSCF Program at Carnegie Mellon offers direct access to faculty at the forefrontof research in applied analysis. The curriculum is constantly upgraded to meet the changing landscape of quantitative finance.”

Michelle Ruvolo ! MSCF 2009New York Part-Time Program

Sterling Stamos Capital ManagementDirector, Risk Management


Yan Du ! MSCF 2008New York Full-Time Program

’08 MSCF Summer Internship:Mizuho Capital Markets Summer Associate – Research

Post-MSCF:Mizuho Financial Group – New York Associate, Structured Notes Pricing and Trading Strategies

Carnegie Mellon M


ent of Mathem



ollege

Yan Du ! MSCF 2008

“Close to the pulse of the financial world and full of opportunities, studying in New York hasreally prepared me to compete with my peerswithin the industry. I have particularly enjoyedthe advantages of studying at a program that offers the world’s bestfinancial engineering coursework, job opportunities and faculty.”

Algirdas Grybas ! MSCF 2008

“In addition to enjoying excellent classroom andcareer resources, I appreciate being partof a true academic environment thatincludes everything from Penguins hockey gamesto additional coursework across the CarnegieMellon campus. Pittsburgh has given me a perfect balance between studies and social life.”


Algirdas Grybas ! MSCF 2008Full-Time Pittsburgh Program

’08 MSCF Summer Internship:Merrill Lynch – New YorkSummer Associate, Global Markets

Post-MSCF:Bank of America Merrill LynchFX/Rates Trader

Carnegie Mellon has created a single MSCF degree, delivered simultaneously to full-time and part-time students in New YorkCity and Pittsburgh.

The proximity of the two cities (approximately 50 minutes flying time) allows

for a regular exchange of people, student services and alumni networking

opportunities. While each location has its advantages, the MSCF program is

seamless in its design and execution.

Location

Carnegie Mellon’s New York City campus is located at 55 Broad Street in

downtown Manhattan, just a few doors down from the New York Stock

Exchange and well-known names such as Goldman Sachs, Deutsche Bank,

Bank of America Merrill Lynch, JPMorgan Chase and Bank of New York Mellon.

Carnegie Mellon’s Pittsburgh campus is located in Oakland, home to two

major research universities, a world-renowned medical center, four college

campuses and a top-rated collection of museums and performing arts venues.

Bordered by quaint residential neighborhoods and the wooded hills of

a scenic park, the 100-acre Carnegie Mellon campus provides an academic

environment that combines the best of both worlds – an urban campus

in a vibrant, social setting.

Classroom experience

MSCF students based in New York take classes with their Pittsburgh counter-

parts. Classes are delivered via live, interactive video with full, two-way audio and

video. The New York facility is composed of three large classrooms, a number of

offices and conference rooms, and a large lounge and common area for social

gatherings. The educational experience is further supported by faculty visits twice

every seven weeks. Faculty remain in New York following the lectures for

discussion and social events.

All lectures are captured electronically and are available via streaming video

throughout the duration of the semester. Faculty often transfer an exact copy

of their notes and slides to students’ laptops.

Each MSCF semester is divided into two mini-semesters, or “minis,” that are

approximately seven weeks long. A Tepper School of Business innovation

launched in 1971, the mini exposes students to an impressive range of material.

> Two cities, one life-changingexperience

!two campusesdesign > faculty > career >Why MSCF? >

“The degree of integrationacross disciplines, colleges and faculty in the MSCF program is truly unique. It could be accomplished only at Carnegie Mellon.”

Steve RoehrigTeaching Professor of Information Systems

Heinz CollegeMSCF Steering Committee

“The New York students enjoythe same level of course integration as their Pittsburghclassmates and participate fully in the classroom. The resources of Carnegie Mellon feature advanced distance learning. This is state-of-the-art delivery that is totally seamless.”

Duane J. SeppiThe BNY Mellon Professor of FinanceTepper School of BusinessMSCF Steering Committee

Selected topics in the MSCF Speaker SeriesHarvey Stein BloombergHead, Quantitative Finance Research and Development

Dealing with Skew in the Equity Markets

Dmitry SenderskyBlackRockDirector and Co-Head of Term Structure and Security Valuation

From Chaos to Order – The Evolution of the CDS Market

Bulent BaygunBNP ParibasManaging Director and

Head of Interest Rate StrategyBuilding Fixed Income Portfolios

Hitesh MittalITGManaging Director and Head of Liquidity Management

Liquidity Management

Ramon VerasteguiSociete GeneraleVice President, Global Equity DerivativesInnovations in Exotic Equity Derivatives

Giuseppe NutiDeutsche BankHead of Algorithmic Trading, Global RatesAlgorithmic Trading

Ilia BouchouevKoch Supply & TradingExecutive Vice President,Head of Energy Derivatives

Trading Volatility in Commodity Markets

Brian Nigito Getco Algorithmic TradingHead of Getco New YorkWhat’s New With Variance Swaps?

Reha TutuncuGoldman SachsVice President, Goldman Sachs Asset Management

Optimization Models for Quantitative Asset Management

Student experience

The major advantages of the MSCF New York City location are its proximity

to global financial institutions and the networking possibilities with hundreds

of MSCF alumni and students currently employed by these institutions.

The major advantages of the Pittsburgh location are live instruction (faculty

travel to New York to deliver two of the seven lectures per mini-semester of

instruction) and a traditional campus environment. Carnegie Mellon is home

to approximately 5,000 graduate students across seven colleges and schools.

You will join an active and global student culture, in and out of the classroom.

Career opportunities

Recruiting activity is brisk. Hundreds of corporate recruiters visit both our

New York and our Pittsburgh locations. More than 50 of the world’s largest

financial services firms, as well as many smaller hedge funds, analytics

and trading companies, actively recruit from the MSCF program (see inserted

material in back of brochure). Students at both locations receive the full

support of the Tepper School of Business Career Opportunities Center.

Summer internship

The summer internship is optional, but strongly encouraged and provides

a competitive edge to your job search. Firms are not obligated to make

a permanent job offer, nor are students compelled to accept such offers.

An internship does, however, provide an opportunity for both the firm and

the student to conduct a substantial evaluation. Many MSCF students do,

in fact, return to their internship firms upon graduation.

MSCF Speaker Series

Throughout the academic year, the MSCF Speaker Series offers students

firsthand knowledge from industry insiders. Speaker presentations occur over

lunch, either at our New York or our Pittsburgh location. Through the series,

students learn of specific career paths, applied markets and areas of current

research in quantitative finance. In addition, Steven Shreve, Orion Hoch Professor

of Mathematical Sciences, invites Pittsburgh MSCF students to attend small,

high-level finance presentations featuring a select group of leading theorists,

researchers and industry experts.


> New York Campus

1. Maria Vultaggio, MSCF 2007, CIBC

World Markets, Crude Oil & Products

Trader. New York-based students attend

classes delivered via live, interactive

video. All lectures are captured and

made available to students via the web.

2. Carnegie Mellon faculty regularly teach

in person in New York after which they

spend time with students at local

restaurants or the facility. The informal

socials and get-togethers provide an

opportunity for small group discussions

1

2 3 4

throughout the school year. Shown:

Steve Shreve, Orion Hoch Professor

of Mathematical Sciences and students

from his Stochastic Calculus class.

3. The Carnegie Mellon campus is located

at 55 Broad in the heart of New York’s Financial District. The location is ideally

suited for students who work on Wall

Street as well as for many corporate

recruiters who conduct interviews at

our facilities. New York-based MSCF

alumni often gather with students and

faculty for Speaker Series events as

well as alumni chapter meetings.

4. In addition to the three state-of-the-art

classrooms, the New York campus

features a large common area, numerous

study spaces, conference rooms,

interview rooms and recreation/social

areas. Baldeep Anand, MSCF 2010,a Senior Technical Analyst at Goldman

Sachs, is among the 80 part-time

students studying in New York.

5. Don’t let the urban landscape fool you.

Pittsburgh – voted one of America’s

Most Livable Cities – has more trees per

square mile than any other U.S. city.

!two campusesdesign > faculty > career >Why MSCF? >

www.tepper.cmu.edu 10/11

> Pittsburgh Campus

7. Just minutes from campus is a treasure

trove of shopping, museums, nightclubs

and world-class eateries located in

the nearby neighborhoods of Shadyside,

Oakland and Squirrel Hill. Full-time students

like Andrea Vijverberg, MSCF 2008,have the opportunity to explore all the city

offers in eclectic art, food and fun.

8. Unlike other programs of its kind,

the Carnegie Mellon standard for

intellectual capital spans multiple colleges

and departments to ensure students

receive a truly integrated approach

Students like Niral Patel, MSCF 2008,take advantage of the green space

surrounding Carnegie Mellon’s 100-acre

campus as well as the Three Rivers

Heritage Trail that links the city’s

neighborhoods along the downtown

38-mile shoreline.

6. The Pittsburgh sports scene boasts

one of the most avid fan bases in

the country. Pittsburgh hosts the NHL

Penguins; the six-time Super Bowl

champion Steelers, whose renown

includes the pre-game tailgaters; and

the Pirates baseball team.

5

8 9

to computational finance. Shown:

Duane Seppi, The BNY Mellon Professor

of Finance.

9. Pittsburgh has three rivers and 38 miles of

inland waterfront. The city also features

an emerging recreational greenway and

is home to vibrant new retail, residential

and entertainment centers. A low cost

of living and high ratings for friendliness

appeals to many young families.

Voted One of the Country’s Top 10Smart Cities, Pittsburgh was listed by

Kiplinger’s as one of the best U.S. cities

in which to live.

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Duane J. SeppiThe BNY Mellon Professor of FinanceTepper School of Business

Stephen RoehrigTeaching Professor of Information SystemsHeinz College

Steven ShreveOrion Hoch Professor of Mathematical SciencesMellon College of ScienceMSCF Co-Founder

Richard L. BryantExecutive DirectorComputational Finance ProgramAdjunct ProfessorTepper School of Business

John P. LehoczkyDean of the College of Humanities and Social Sciences

Thomas Lord Professor of Statisticsand Mathematics

MSCF Co-Founder

There is unparalleled depth on Carnegie Mellon’s academicbench. The MSCF Steering Committee reflects the caliber andcommitment of the MSCF program.

> Carnegie Mellon: our intellectual assets


FAST

The MSCF program enjoys a worldwide reputation for excellence,one that rests squarely on the strength of the faculty and extendsto courses that they’ve carefully developed and refined over thepast decade.

Many student applicants are already familiar with MSCF faculty members

such as Professor Emeritus David Heath, of the Heath Jarrow Morton interest

rate model; Steven Shreve, author of several award-winning stochastic

calculus textbooks; and energy derivatives expert, Duane Seppi, The BNY

Mellon Professor of Finance at the Tepper School of Business. Carnegie

Mellon’s commitment to this program is evidenced by the many other senior

faculty members of superior achievement who teach in the program.

This cadre of exceptional faculty continues to test the practical implications

of evolving theories, helping to forge the frontiers of quantitative finance.

Carnegie Mellon also attracts undergraduates to its bachelor’s degree

in Computational Finance, as well as doctoral candidates in mathematical

finance and continues to invest in new MSCF faculty, adding to the

intellectual capital of the program.

Research driven, results focused

Students benefit from faculty from four colleges on the Carnegie Mellon

Campus – Mathematical Sciences, Statistics, Heinz College and the Tepper

School of Business – whose research interests include financial engineering,

stochastic processes and market microstructure. Risk management has

emerged as a focus of research at Carnegie Mellon, with a team of eight

faculty working together to develop tools for measuring and controlling

financial risk.

Decision-making by individuals within a firm is also being studied, both

theoretically and experimentally. This work is advanced by ongoing discussions

with managers at investment banks and through faculty membership on

boards of directors of financial firms.

In a field as fluid and rapidly changing as quantitative finance, Carnegie

Mellon’s faculty members – not textbooks – serve as the primary knowledge

source. Our faculty members maintain vital links with the global financial

services industry through consulting assignments, advisory boards and

interaction with former students.

“We strive to offer a curriculumthat not only prepares studentsfor their first position in thefinance industry, but allowsthem to excel as the industryevolves. It is our fully integrated,interdisciplinary approach that provides this unique andpowerful preparation.”

John P. LehoczkyDean of the College of Humanities and Social Sciences

Thomas Lord Professor of Statistics and Mathematics

MSCF Co-FounderMSCF Steering Committee

Fast Track Carnegie Mellon’s Financial Analysis and Security Trading (FAST) softwareprovides a platform for simulatedtrading. Introduced in 1989, thedevelopment of the FAST software at Carnegie Mellon represents the first initiative by a university to replicatethe live international data feeds and sophisticated software of Wall Street’stop trading firms. The proprietary software is now licensed to more than75 universities worldwide. This tradingplatform is used in the annual MSCFDeutsche Bank Trading Competition.

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> Blue-chip faculty

!two campuses >design > faculty career >Why MSCF? >


> Unparalleled curriculum

MSCF Full-Time Curriculum Academic Year 1Mini 1MSCF FinanceFinancial Computing IProbabilityMacroeconomics for ComputationalFinance

Presentations for ComputationalFinance

Mini 2Fixed IncomeOptionsStatistical InferenceMulti-Period Asset PricingMSCF Deutsche Trading Competition

Mini 3Financial Products and Markets Financial Computing IILinear Financial ModelsStochastic Calculus I

Mini 4Financial Time Series AnalysisFinancial Computing IIIStochastic Calculus for Finance IISimulation Methods for Options Pricing

Summer InternshipAcademic Year 2Mini 1Advanced Derivative ModelingStudies in Financial EngineeringStatistical ArbitrageFinancial Computing IV

Mini 2Numerical Methods Choose three of four:

Quantitative Asset ManagementTopics in Quantitative FinanceCredit DerivativesFinancial Economics forComputational Finance

MSCF Part-Time CurriculumFall 1 Financial Computing I

MSCF FinanceProbability

Fall 2 Multi-Period Asset PricingStatistical Inference

Spring 3 Financial Computing II Linear Financial Models

Spring 4 Financial Computing III Financial Time Series Analysis

Fall 1 Macroeconomics for Computational Finance

Statistical Arbitrage

Fall 2 Fixed Income MSCF Deutsche Trading Competition

Options

Spring 3 Financial Products and Markets

Stochastic Calculus for Finance I

Spring 4 Simulation Methods inOption Pricing

Stochastic Calculus for Finance II

Fall 1 Advanced Derivative ModelingStudies in Financial Engineering

Fall 2 Choose two of three:Financial Economics for Computational Finance

Quantitative Asset Management

Topics in Quantitative Finance

Spring 3 Credit Derivatives Financial Computing IV

Spring 4 Presentations for Computational Finance

Numerical Methods

The MSCF curriculum comprises 25 courses, each carefully designed to prepare you to make an immediate impact in theworld of computational finance.

CourseworkThe MSCF program begins with traditional theories of equity and bond portfolio management and quickly expands to include the stochastic calculus models uponwhich derivative trading is based.

These models are applied to both fixed income and equity markets,employing computational methods such as Monte Carlo simulation andfinite difference approximations ofpartial differential equations. Statistical methodologies are alsoapplied, including regression and time series analysis. The programculminates with courses on appliedfinancial engineering, statisticalarbitrage, risk management anddynamic asset management. In theinitial stages of the program, C++ is taught, and students subsequentlycreate software in several courses. The program concludes with asophisticated financial computing course and a capstone financialengineering case studies course.

In keeping with our tradition of innovation, the MSCFfaculty may revise the curriculum at any time.

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InternshipOur distinct summer internship programgives MSCF students a competitive advantage, both in finding an initial job and in moving quickly towardadditional responsibilities andpromotion. Our graduates confirm that the summer internship helps tofocus career goals and providespreparation for full-time employment.Typically 95% – 100% of our studentsaccept internship positions. The CareerOpportunities Center at the TepperSchool of Business provides career and employment counseling services to our students, providing access toglobal quantitative finance recruiters as part of students’ career planning.

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Advanced Derivative Modeling This course treats models in which

underlying asset prices jump and/or have

stochastic volatility. Stochastic Calculus

and change-of-measure techniques will

be developed for these processes.

Credit Derivatives This course analyzes the essential differences

between the “structured approach” and

the “reduced form” approach as alternative

techniques for modeling credit risk.

MSCF Deutsche Trading Competition Employing fixed income and derivatives

instruments, individuals trade and make

markets using Carnegie Mellon’s proprietary

Financial Analysis and Security Trading

software. Results of the competition are

tallied and posted, with the winners

determined relative to the performance

measurements specified in the trading cases.

The winners are honored with cash prizes

in the company of all participants and

members of the MSCF Steering Committee

at a reception hosted each January by

Deutsche Bank in New York.

Financial Computing I This course covers the fundamentals

of programming in C++. Considerable

attention is paid to heap memory

management.

Financial Computing II Throughout this course, we will be building

a non-toy C++ application that uses genetic

programming.

Financial Computing III This is a course in advanced O-O and C++

topics. It examines memory management,

including overriding the new and delete

operators, program design for other kinds

of resource allocation, exception-safe code,

profiling and optimizations.

Financial Computing IV The goal of this course is to refresh and

expand students’ knowledge of several

important topics of the Master Program,

such as Object Oriented Programming

with C++, theory of pricing and hedging

of derivative securities, numerical analysis

and stochastic calculus. The course is

organized around a project of design and

implementation of a powerful C++ library

for pricing of derivative securities.

Financial Economics forComputational FinanceThis course focuses on the economics

underlying valuation theory beginning with

the basic microeconomics framework

of arbitrage-free pricing, decision-making

under uncertainty and competitive

equilibrium. This framework is then used

to understand time series and cross-sectional

variation in the risks and the expected

returns on equities, bonds and currencies.

Financial Products and Markets This course provides a broad overview of the

financial markets, their institutions and the

products they create and trade. The focus of

the course is on the pockets of quantitative

finance found in the CMO, CDO, CDS, rates,

commodities and equity derivatives markets.

Financial Time Series Analysis This course introduces time series

methodology with an emphasis on

the data analytic aspects related to

financial applications. Topics studied in

this course include univariate ARIMA

modeling, forecasting, seasonality,

model identification and diagnostics.

MSCF Finance This course serves as an introduction

to the financial problems faced by firms

and the models used to address them.

Topics include: time value of money and

compounding, capital budgeting, portfolio

theory and diversification, risk and return,

capital structure and dividend policy.

Fixed Income This course introduces the securities

traded in fixed income markets and the

valuation models used to price them.

Payoff characteristics and quotation

conventions will be explained for treasury

bills and bonds, STRIPS, defaultable

bonds, mortgage-backed securities like

Collateralized Mortgage Obligations

and derivative securities like swaps,

caps, floors and swaptions.

Probability The objective of this course is to introduce

the basic ideas and methods of calculus-

based probability theory and to provide a

solid foundation for other MSCF courses

based on probability theory.

Statistical Inference The objective of this course is to introduce

the basic ideas and methods of statistical

inference and the practice of statistics,

especially estimation and basic regression

analysis.

> Course descriptions

The MSCF program instructs students in the high-level mathematicaland statistical concepts underlying the complicated financial structuresof today’s international markets. Designed to meet the needs ofindustry, Carnegie Mellon’s MSCF curriculum integrates quantitativefinance with financial management and computer technology for finding innovative and efficient financial solutions to complexbusiness challenges and opportunities. The Carnegie Mellon financialengineering program is highly regarded among global financial centers.As a result, the demand for our graduates remains exceptionally strong.


Linear Financial Models This is a course in regression analysis and

linear models with application to equity

portfolio management. Basic methods

taught in the course include simple and

multiple linear regression, model selection,

residual analysis, diagnostics, detection of

multi-collinearity, nonstandard conditions

and transformations.

Macroeconomics for Computational Finance This course provides students with a

working knowledge of the economic

models and concepts that underlie many

of the mathematical and statistical

tools that are taught elsewhere in the

MSCF program. The first half of the

course develops the microeconomics

that supports classical valuation theory.

The second half explores a variety of

topics in international macroeconomics,

including interest rate determination

and monetary policy, foreign exchange

rates, money and banking, international

capital flows and financial crises.

Multi-Period Asset Pricing This course introduces the concepts of

arbitrage and risk-neutral pricing within the

context of multi-period financial models.

Numerical Methods This course covers numerical methods

relevant to solving the partial differential

equations that arise in finance. Both

the theoretical background and practical

issues are treated.

Options The primary focus of this course is on pricing

and hedging contingent claims, such as

assets with option-like features. Examples

include calls, puts, warrants, bank loans and

underwriting contracts.

Presentations for Computational Finance This course provides practical, usable

and relevant practice and study in oral

communications strategies critical for

professional success. Assignments will

enable students to target key decision-

makers’ needs, craft verbal and quantitative

arguments, and provide problem-solving,

action-oriented content.

Quantitative Asset Management This course covers the theoretical and

quantitative tools that are used in dynamic

asset management. Following a review of

static portfolio selection models, including

mean-variance optimization and multiple

factor models, the course revolves around

multi-period models considering frictions

such as transaction costs and taxes.

Simulation Methods for Option Pricing This course presents standard topics in

simulation, including random variable

generation, variance reduction methods

and statistical analysis of simulation output.

The course also addresses the use of

Monte Carlo simulation in solving applied

problems on derivative pricing discussed

in the current finance literature.

Statistical Arbitrage This course provides students with the basic

concepts and techniques for statistical-based

trading, presenting some of the standard

approaches to statistical arbitrage, including

market-neutral strategies such as pairs

trading, value-based or contrarian methods,

momentum-based strategies, cointegration-

based trading and technical analysis.

Stochastic Calculus for Finance I This course introduces martingales,

Brownian motion, Ito integrals and Ito’s

formula, in both the uni-variate and

multi-variate case. This is done within

the context of the Black-Scholes option

pricing model and includes a detailed

examination of this model.

Stochastic Calculus for Finance II This course treats the theory and

implementation of interest-rate term

structure models. The underlying

methodology is change of measure.

Both risk-neutral and forward measures

are used. Models covered include Hull-

White, Cox-Ingersoll-Ross, Heath-Jarrow-

Morton and Brace-Gatarek-Musiela.

Studies in Financial Engineering This course is about utilizing financial

engineering and derivative securities to

solve practical business problems. Students

will work through business cases and give

in-class simulated sales presentations to

hypothetical clients. The cases highlight

the design, valuation and hedging of

structured products on stock prices,

interest rates, FX and exotic “underlyings,”

such as volatility, credit and energy.

Topics in Quantitative Finance This course is a collection of topics that

can vary from year to year. Typical topics

include the application of heavy-tailed

distributions and simulation methods to

financial risk management, models for the

spread between forward interest rates and

interest rate futures, the theory of American

options, models for exchange rates, and

pricing and hedging exotic options.

MSCF alumni are concentrated in New York, London and Hong Kong, influencing virtually every aspect of today’s financial services industry.

Our students pursue careers in derivatives pricing and trading, financial

risk management, structured products, financial analytics and quantitative

portfolio management. One person manages a credit derivatives desk,

another trades bond options at a large London investment bank. Another is

involved in fixed income research, while yet another is an options trader on

the floor of the CBOE. Some graduates develop proprietary trading strategies

for hedge funds or have started their own financial software firms. Others

build models and assess derivative risk and capital adequacy for the large

banks. Many of our graduates work with corporate and institutional clients

on the structured product desks of the big sell-side banks, in credit, equity,

fixed income, commodities and life settlements.

With very few exceptions, all our alumni seek quantitative environments

within the financial services industry and thrive on the volatility of the

financial markets.

Career-minded from Day One

Students enrolled in the MSCF program are offered a broad range of career

services through the Tepper School’s Career Opportunities Center (COC).

Students are encouraged to begin career building as soon as they arrive at

school, taking full advantage of the COC’s resources, workshops and training.

In addition to facilitating on-campus corporate presentations and recruiting

activities, the COC assists MSCF students through resume writing seminars,

mock interviews and exclusive Tepper recruiting events held each October

and in January at the MSCF campus in New York City.

> MSCF: career paths

!two campuses >design > faculty > careerWhy MSCF? >

“The MSCF program and its alumni are well known within the financial servicesindustry. Due to their uniqueskill set, our grads have astrong following among top recruiters worldwide.”

Kenneth R. Keeley, Ph.D.Executive DirectorCareer Opportunities Center

>

94%

In 2009, 94 percent ofMSCF graduates wereemployed within threemonths of graduation.In 2008, our most difficult year ever, 88 percent of graduates were employedwithin three months of graduation, and in 2007, 96 percent.

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ollege

The Career Opportunities Center at the Tepper School of Business

provides the MSCF students with a variety of services:

> Access to Alumni Directory Database

> Access to COC’s Employer Contact Database

> A Web-based system for registration, applying for on-campus

interviews, distributing job descriptions via email and completing

resume referrals

> Individual assistance ranging from resume review to interview

preparation and job offer negotiation

> Individual career counseling appointments

> Career fairs and employer visitations

> Corporate presentations that provide opportunities for personal

exploration and networking

> Career Resource Library

> Mock interviews with the COC staff and/or alumni and

corporate friends

> Individual appointments for feedback from on-campus interviews

See inserted materials in the back of brochure on COC services and statistics.

> Career Opportunities Center

Jeffrey Rosenberg ! MSCF 1997

“In today’s financial markets, employersincreasingly seek candidates who can blend asolid understanding of financial theory with anability to capitalize that knowledge into businessopportunities. The MSCF degree providesthe quantitative skills and practicalimplementation to put students on a path toward successful careers in theapplication of quantitative finance.”


Jeffrey Rosenberg ! MSCF 1997Banc of America Securities – New York Managing Director, Head of Credit Strategy

20 www.tepper.cmu.edu

Carnegie Mellon DeansKenneth B. DunnTepper School of Business

John P. LehoczkyCollege of Humanities and Social Sciences

Fred GilmanMellon College of Science

Ramayya KrishnanHeinz College

MSCF Steering CommitteeRichard L. BryantExecutive DirectorComputational Finance ProgramAdjunct ProfessorTepper School of Business

John P. LehoczkyDean of the College of Humanitiesand Social Sciences

Thomas Lord Professor of Statistics and Mathematics

> Our Leadership

> Information

Masters Admissions OfficePhone: 412.268.3679800.850.4742 (U.S. only)Fax: 412.268.4209email: [email protected]/mscf

Financial AidPhone: 412.268.1242Fax: 412.268.2810email: [email protected]/mscfaid

Career Opportunities Center412.268.2278www.tepper.cmu.edu/mscfcareers

Stephen RoehrigTeaching Professor of Information SystemsHeinz College

Duane J. SeppiThe BNY Mellon Professor of FinanceTepper School of Business

Steven ShreveOrion Hoch Professor of Mathematical Sciences

Mellon College of Science

2009 – 2010 MSCF Advisory BoardTerry BeltonManaging DirectorJPMorgan Chase

Ian DomowitzManaging DirectorInvestment Technology Group

Keishi HotsukiManaging DirectorGlobal Head of Market Risk Management

Morgan Stanley

Jon KinolManaging DirectorCredit Suisse

Erwin MartensExecutive Vice PresidentTIAA-CREF

Riccardo RebonatoGlobal HeadRoyal Bank of Scotland

Jeffrey RosenbergManaging DirectorBanc of America Securities

Paul RussoManaging DirectorGoldman Sachs

Statement of AssuranceCarnegie Mellon University does not discriminate and Carnegie Mellon University is required not to discriminate in admission, employment, or administration of its programs or activities on the basis of race, color, national origin, sex or handicap in violation of Title VI of the Civil Rights Act of 1964, Title IX of the Educational Amendments of 1972 and Section 504 of the Rehabilitation Act of 1973 or other federal, state, or local laws or executive orders.

In addition, Carnegie Mellon University does not discriminate in admission, employment, or administration of its programs onthe basis of religion, creed, ancestry, belief, age, veteran status, sexual orientation or gender identity. Carnegie Mellon does not discriminate in violation of federal, state, or local laws or executive orders. However, in the judgment of the Carnegie MellonHuman Relations Commission, the Presidential Executive Order directing the Department of Defense to follow a policy of “Don’task, don’t tell, don’t pursue” excludes openly gay, lesbian and bisexual students from receiving ROTC scholarships or serving inthe military. Nevertheless, all ROTC classes at Carnegie Mellon University are available to all students.

Inquiries concerning application of these statements should be directed to the provost, Carnegie Mellon University, 5000 ForbesAvenue, Pittsburgh, PA 15213, telephone 412.268.6684 or the vice president for enrollment, Carnegie Mellon University, 5000Forbes Avenue, Pittsburgh, PA 15213, telephone 412.268.2056.

Carnegie Mellon University publishes an annual campus security report describing the university’s security, alcohol and drug, andsexual assault policies and containing statistics about the number and type of crimes committed on the campus during thepreceding three years. You can obtain a copy by contacting the Carnegie Mellon Police Department at 412.268.2323. The securityreport is also available online at http://www.cmu.edu/police/annualreports/index.html.

Obtain general information about Carnegie Mellon University by calling 412.268.2000.

www.cmu.edu/mscf

Carnegie Mellon University5000 Forbes AvenuePittsburgh, PA 15213-3890

Masters Admissions OfficePhone: 412.268.3679Fax: 412.268.4209Toll Free: 800.850.4742 (U.S. only)

www.cmu.edu/mscf

front cover:Mehul Patel ! MSCF 2008New York Full-Time Program

‘08 MSCF Summer Internship:PNC Financial Services GroupGraduate Intern – Market Risk Management Group

Post-MSCF:Investment ManagementPromark Global Advisors

2010 11 mscf brochure

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