Tepper School of Business Department of Mathematical Sciences Department of Statistics Heinz College

www.cmu.edu/mscf

Clemence Mauchamp

MSCF 2004

Merrill Lynch and Co., Inc. Vice President, Strategic Solution Group London

www.cmu.edu/mscf

> MSCF: quantifiably different

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 Mellons MSCF degree remains the industry standard and the top program of its kind. Our integrated curriculum, made possible by the interdisciplinary joint venture of four Carnegie Mellon colleges, is designed specifically for the MSCF program. Our students impressive job placement 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.

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In addition to providing a solid foundation in the fundamentals of quantitative finance, our graduates possess the high-level skills and conceptual framework required to find innovative solutions for the challenges faced by the ever-changing and increasingly complex financial services industry.

Richard Bryant
Executive Director Computational Finance Program MSCF Steering Committee

1994&1995

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First of its kind
Leveraging its strengths in finance, mathematics, statistics and computing, Carnegie Mellon pioneered the financial engineering degree in Pittsburgh in 1994 and in New York in 1995.

Why MSCF?

design >

two campuses >

faculty >

career >

> Why quantitative finance?

>

Carnegie Mellons MSCF degree mirrors the new Wall Street reality in which the disciplines of finance, mathematics, statistics and 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. MSCFs 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

Having built and led an investment team that managed more than $75 billion in core fixed assets, I know firsthand the importance of a program that prepares students for success within the financial services industry. Our MSCF graduates are widely recognized for their exceptional analytical insight.
Kenneth B. Dunn Dean, Tepper School of Business Professor of Financial Economics

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.

21 full-time faculty,

representing four Carnegie Mellon

colleges, teach in the MSCF program.

21

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> About Us
New to the field of Computational Finance?
The field of computational finance or financial engineering, as its 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.
Carnegie Mellon MSCF Tepper School of Business Department of Mathematical Sciences Department of Statistics Heinz College

I I

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.

I I

Gabriel Segredo , Dual Degree: MBA/MSCF 1998

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

www.cmu.edu/mscf

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Gabriel Segredo

Dual Degree: MBA/MSCF 1998

Rabobank International Director, Structured Products London

Why MSCF? >

design

two campuses >

faculty >

career >

> MSCF: better by design

Carnegie Mellon is a small research university that cannot afford barriers between departments. We choose not to do everything. Yet, in those areas where we choose to be a player, we are among the worlds best.
Steven Shreve Orion Hoch Professor of Mathematical Sciences Mellon College of Science MSCF Co-Founder MSCF Steering Committee

Carnegie Mellons intensive, 16-month financial engineering degree is considered by many financial services firms and academicians to be the top program in the country. The success and reputation of our graduates on Wall Street, London, Hong Kong 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.

MSCF
and quantitative skills. Some mathematical finance programs focus on math at the expense of real-world application. Few programs embed Mellons MSCF degree delivers a computation in their curricula. Carnegie well-balanced and carefully coordinated mix of applied finance courses, along with quantitative depth and computation.

<

A degree of difference
While the terms quantitative finance, computational finance, mathematical finance and financial engineering are often used interchangeably, its important to note subtle, but significant, differences in meaning. Financial Engineering programs often emphasize finance and financial markets at the expense of more rigorous computing

> Carnegie Mellon MSCF

Do your MSCF homework
Not 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?
Carnegie Mellon MSCF Tepper School of Business Department of Mathematical Sciences Department of Statistics Heinz College

I I I

A campus without borders

Interdisciplinary 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

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 forefront of research in applied analysis.

The curriculum is constantly upgraded to meet the changing landscape of quantitative finance.

www.cmu.edu/mscf

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Michelle Ruvolo

MSCF 2009

New York Part-Time Program Sterling Stamos Capital Management Director, Risk Management

Yan Du

MSCF 2008

New 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

Yan Du , MSCF 2008

Carnegie Mellon MSCF Tepper School of Business Department of Mathematical Sciences Department of Statistics Heinz College

Close to the pulse of the financial world and full of opportunities, studying in New York has really prepared me to compete with my peers within the industry. I have particularly enjoyed

the advantages of studying at a program that offers the worlds best financial engineering coursework, job opportunities and faculty.

I I I

Algirdas Grybas , MSCF 2008

In addition to enjoying excellent classroom and career resources, I appreciate being part of a true academic environment that includes everything from Penguins hockey games to additional coursework across the Carnegie Mellon campus. Pittsburgh has given me a perfect balance between studies and social life.

www.cmu.edu/mscf

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Algirdas Grybas

MSCF 2008

Full-Time Pittsburgh Program 08 MSCF Summer Internship: Merrill Lynch New York Summer Associate, Global Markets Post-MSCF: Bank of America Merrill Lynch FX/Rates Trader

Why MSCF? >

design >

two campuses

faculty >

career >

> Two cities, one life-changing experience

The degree of integration across disciplines, colleges and faculty in the MSCF program is truly unique. It could be accomplished only at Carnegie Mellon.
Steve Roehrig Teaching Professor of Information Systems Heinz College MSCF Steering Committee

Carnegie Mellon has created a single MSCF degree, delivered simultaneously to full-time and part-time students in New York City 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 Mellons 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 Mellons 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 counterparts. 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.

The New York students enjoy the same level of course integration as their Pittsburgh classmates 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. Seppi The BNY Mellon Professor of Finance Tepper School of Business MSCF Steering Committee

www.cmu.edu/mscf

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Selected topics in the MSCF Speaker Series

Harvey Stein Bloomberg Head, Quantitative Finance Research and Development

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 worlds 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.

Dealing with Skew in the Equity Markets

Dmitry Sendersky BlackRock Director and Co-Head of Term Structure and Security Valuation

From Chaos to Order The Evolution of the CDS Market

Bulent Baygun BNP Paribas Managing Director and Head of Interest Rate Strategy

Building Fixed Income Portfolios

Hitesh Mittal ITG Managing Director and Head of Liquidity Management

Liquidity Management
Ramon Verastegui Societe Generale Vice President, Global Equity Derivatives

Innovations in Exotic Equity Derivatives

Giuseppe Nuti Deutsche Bank Head of Algorithmic Trading, Global Rates

Algorithmic Trading
Ilia Bouchouev Koch Supply & Trading Executive Vice President, Head of Energy Derivatives

Trading Volatility in Commodity Markets

Brian Nigito Getco Algorithmic Trading Head of Getco New York

Whats New With Variance Swaps?

Reha Tutuncu Goldman Sachs Vice President, Goldman Sachs Asset Management

Optimization Models for Quantitative Asset Management

Why MSCF? >

design >

two campuses

faculty >

career >

> 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 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 Yorks 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. Dont let the urban landscape fool you. Pittsburgh voted one of Americas Most Livable Cities has more trees per square mile than any other U.S. city.

www.tepper.cmu.edu

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> Pittsburgh Campus

Students like Niral Patel, MSCF 2008, take advantage of the green space surrounding Carnegie Mellons 100-acre campus as well as the Three Rivers Heritage Trail that links the citys 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. 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 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 Countrys Top 10 Smart Cities, Pittsburgh was listed by Kiplingers as one of the best U.S. cities in which to live.

Stephen Roehrig
Teaching Professor of Information Systems Heinz College

Steven Shreve
Orion Hoch Professor of Mathematical Sciences Mellon College of Science MSCF Co-Founder

Duane J. Seppi
The BNY Mellon Professor of Finance Tepper School of Business

www.tepper.cmu.edu

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> Carnegie Mellon: our intellectual assets

There is unparalleled depth on Carnegie Mellons academic bench. The MSCF Steering Committee reflects the caliber and commitment of the MSCF program.

John P. Lehoczky
Dean of the College of Humanities and Social Sciences Thomas Lord Professor of Statistics and Mathematics MSCF Co-Founder

Richard L. Bryant
Executive Director Computational Finance Program Adjunct Professor Tepper School of Business

Why MSCF? >

design >

two campuses >

faculty

career >

> Blue-chip faculty

We strive to offer a curriculum that not only prepares students for their first position in the finance industry, but allows them to excel as the industry evolves. It is our fully integrated, interdisciplinary approach that provides this unique and powerful preparation.
John P. Lehoczky Dean of the College of Humanities and Social Sciences Thomas Lord Professor of Statistics and Mathematics MSCF Co-Founder MSCF Steering Committee

The MSCF program enjoys a worldwide reputation for excellence, one that rests squarely on the strength of the faculty and extends to courses that theyve carefully developed and refined over the past 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 Mellons 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 bachelors 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 Mellons 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.

Fast Track
Carnegie Mellons Financial Analysis and Security Trading (FAST) software provides a platform for simulated trading. Introduced in 1989, the development of the FAST software at Carnegie Mellon represents the first initiative by a university to replicate the live international data feeds and sophisticated software of Wall Streets top trading firms. The proprietary

FAST
software is now licensed to more than platform is used in the annual MSCF 75 universities worldwide. This trading Deutsche Bank Trading Competition.

www.tepper.cmu.edu

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> Unparalleled curriculum

The MSCF curriculum comprises 25 courses, each carefully designed to prepare you to make an immediate impact in the world of computational finance.
MSCF Full-Time Curriculum Academic Year 1
Mini 1
MSCF Finance Financial Computing I Probability Macroeconomics for Computational Finance Presentations for Computational Finance Fall 2

MSCF Part-Time Curriculum

Fall 1 Financial Computing I MSCF Finance Probability Multi-Period Asset Pricing Statistical 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 Fixed Income MSCF Deutsche Trading Competition Options

Mini 2
Fixed Income Options Statistical Inference Multi-Period Asset Pricing MSCF Deutsche Trading Competition

Fall 2

Mini 3
Financial Products and Markets Financial Computing II Linear Financial Models Stochastic Calculus I

Mini 4
Financial Time Series Analysis Financial Computing III Stochastic Calculus for Finance II Simulation Methods for Options Pricing

Spring 3 Financial Products and Markets Stochastic Calculus for Finance I Spring 4 Simulation Methods in Option Pricing Stochastic Calculus for Finance II Fall 1 Advanced Derivative Modeling Studies in Financial Engineering Choose two of three: Financial Economics for Computational Finance Quantitative Asset Management Topics in Quantitative Finance

Summer Internship Academic Year 2

Mini 1
Advanced Derivative Modeling Studies in Financial Engineering Statistical Arbitrage Financial Computing IV

Fall 2

Mini 2
Numerical Methods Choose three of four: Quantitative Asset Management Topics in Quantitative Finance Credit Derivatives Financial Economics for Computational Finance

Spring 3 Credit Derivatives Financial Computing IV Spring 4 Presentations for Computational Finance Numerical Methods

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Internship
Our distinct summer internship program gives MSCF students a competitive advantage, both in finding an initial job and in moving quickly toward additional responsibilities and promotion. Our graduates confirm that the summer internship helps to focus career goals and provides preparation for full-time employment. Typically 95% 100% of our students accept internship positions. The Career Opportunities Center at the Tepper School of Business provides career and employment counseling services to our students, providing access to global quantitative finance recruiters as part of students career planning.

<
Coursework
The MSCF program begins with traditional theories of equity and bond portfolio management and quickly expands to include the stochastic calculus models upon which derivative trading is based. These models are applied to both fixed income and equity markets, employing computational methods such as Monte Carlo simulation and finite difference approximations of partial differential equations. Statistical methodologies are also applied, including regression and time series analysis. The program culminates with courses on applied financial engineering, statistical arbitrage, risk management and dynamic asset management. In the initial stages of the program, C++ is taught, and students subsequently create software in several courses. The program concludes with a sophisticated financial computing course and a capstone financial engineering case studies course.
In keeping with our tradition of innovation, the MSCF faculty may revise the curriculum at any time.

> Course descriptions

The MSCF program instructs students in the high-level mathematical and statistical concepts underlying the complicated financial structures of todays international markets. Designed to meet the needs of industry, Carnegie Mellons MSCF curriculum integrates quantitative finance with financial management and computer technology for finding innovative and efficient financial solutions to complex business challenges and opportunities. The Carnegie Mellon financial engineering program is highly regarded among global financial centers. As a result, the demand for our graduates remains exceptionally strong.
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

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.

Financial Computing II
Throughout this course, we will be building a non-toy C++ application that uses genetic programming.

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.

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.

Credit Derivatives
This course analyzes the essential differences between the structured approach and the reduced form approach as alternative techniques for modeling credit risk.

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.

MSCF Deutsche Trading Competition

Employing fixed income and derivatives instruments, individuals trade and make markets using Carnegie Mellons 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 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.

Probability
The objective of this course is to introduce the basic ideas and methods of calculusbased probability theory and to provide a solid foundation for other MSCF courses based on probability theory.

Financial Economics for Computational Finance

This 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 Computing I
This course covers the fundamentals of programming in C++. Considerable attention is paid to heap memory management.

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.

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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.

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 decisionmakers needs, craft verbal and quantitative arguments, and provide problem-solving, action-oriented content.

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 HullWhite, Cox-Ingersoll-Ross, Heath-JarrowMorton and Brace-Gatarek-Musiela.

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.

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.

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.

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.

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.

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, cointegrationbased trading and technical analysis.

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.

Stochastic Calculus for Finance I

This course introduces martingales, Brownian motion, Ito integrals and Itos 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.

Why MSCF? >

design >

two campuses >

faculty >

career

> MSCF: career paths

>

MSCF alumni are concentrated in New York, London and Hong Kong, influencing virtually every aspect of todays 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 Schools Career Opportunities Center (COC). Students are encouraged to begin career building as soon as they arrive at school, taking full advantage of the COCs resources, workshops and training. In addition to facilitating on-campus corporate presentations and recruiting activities, the COC assists MSCF students through resume writing seminars,

The MSCF program and its alumni are well known within the financial services industry. Due to their unique skill set, our grads have a strong following among top recruiters worldwide.
Kenneth R. Keeley, Ph.D. Executive Director Career Opportunities Center

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mock interviews and exclusive Tepper recruiting events held each October and in January at the MSCF campus in New York City.

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

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> Career Opportunities Center

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 COCs 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
Carnegie Mellon MSCF Tepper School of Business Department of Mathematical Sciences Department of Statistics Heinz College

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

Jeffrey Rosenberg , MSCF 1997

In todays financial markets, employers increasingly seek candidates who can blend a solid understanding of financial theory with an ability to capitalize that knowledge into business opportunities. The MSCF degree provides

the quantitative skills and practical implementation to put students on a path toward successful careers in the
application of quantitative finance.

www.tepper.cmu.edu

18/19

Jeffrey Rosenberg

MSCF 1997

Banc of America Securities New York Managing Director, Head of Credit Strategy

20

www.tepper.cmu.edu

> Our Leadership

Carnegie Mellon Deans
Kenneth B. Dunn Stephen Roehrig Jon Kinol

Tepper School of Business

John P. Lehoczky

Teaching Professor of Information Systems Heinz College

Duane J. Seppi

Managing Director Credit Suisse

Erwin Martens

College of Humanities and Social Sciences

Fred Gilman

The BNY Mellon Professor of Finance Tepper School of Business

Steven Shreve

Executive Vice President TIAA-CREF

Riccardo Rebonato

Mellon College of Science

Ramayya Krishnan

Heinz College
MSCF Steering Committee
Richard L. Bryant

Orion Hoch Professor of Mathematical Sciences Mellon College of Science

2009 2010 MSCF Advisory Board
Terry Belton

Global Head Royal Bank of Scotland

Jeffrey Rosenberg

Executive Director Computational Finance Program Adjunct Professor Tepper School of Business
John P. Lehoczky

Managing Director Banc of America Securities

Paul Russo

Managing Director JPMorgan Chase

Ian Domowitz

Managing Director Goldman Sachs

Dean of the College of Humanities and Social Sciences Thomas Lord Professor of Statistics and Mathematics

Managing Director Investment Technology Group

Keishi Hotsuki

Managing Director Global Head of Market Risk Management Morgan Stanley

> Information
Masters Admissions Office Phone: 412.268.3679 800.850.4742 (U.S. only) Fax: 412.268.4209 email: mscf-admissions@andrew.cmu.edu www.cmu.edu/mscf Financial Aid Phone: 412.268.1242 Fax: 412.268.2810 email: tepperaid@andrew.cmu.edu www.tepper.cmu.edu/mscfaid Career Opportunities Center 412.268.2278 www.tepper.cmu.edu/mscfcareers

Statement of Assurance
Carnegie 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 on the 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 Mellon Human Relations Commission, the Presidential Executive Order directing the Department of Defense to follow a policy of Dont ask, dont tell, dont pursue excludes openly gay, lesbian and bisexual students from receiving ROTC scholarships or serving in the 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 Forbes Avenue, Pittsburgh, PA 15213, telephone 412.268.6684 or the vice president for enrollment, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213, telephone 412.268.2056. Carnegie Mellon University publishes an annual campus security report describing the universitys security, alcohol and drug, and sexual assault policies and containing statistics about the number and type of crimes committed on the campus during the preceding three years. You can obtain a copy by contacting the Carnegie Mellon Police Department at 412.268.2323. The security report 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 University 5000 Forbes Avenue Pittsburgh, PA 15213-3890 Masters Admissions Office Phone: 412.268.3679 Fax: 412.268.4209 Toll Free: 800.850.4742 (U.S. only)

www.cmu.edu/mscf

front cover:
Mehul Patel MSCF 2008
New York Full-Time Program 08 MSCF Summer Internship: PNC Financial Services Group Graduate Intern Market Risk Management Group Post-MSCF: Investment Management Promark Global Advisors