Carnegie Mellon University

Nov. 2 - Computational Finance


Lauren Ward
Mellon College of Science

Geof Becker
Tepper School of Business

Carnegie Mellon's Unique Bachelor of Science in
Computational Finance Meets Growing Market Demand

Interdisciplinary Program Combines Strengths in the Sciences, Business and Public Policy

PITTSBURGH—Carnegie Mellon University's innovative Bachelor of Science in Computational Finance (BSCF) is a unique program that is meeting the increasing worldwide demand for individuals trained to develop math-based tools for the finance industry.

"On a daily basis, we see the financial industry identify new economic sectors that require management to secure their future growth and minimize their business risk," said Steve Shreve, director of the BSCF program and the Orion Hoch Professor of Mathematical Sciences at the Mellon College of Science (MCS). "Our graduates are at the forefront of developing mathematics-based tools for managing these risks. These students are well-positioned for success because they are versed in the business of finance and methods for effective communication, and they have in-depth knowledge of mathematics, statistics and computing. There is tremendous demand for people with this combination of skills.''

The BSCF curriculum — one of a handful nationwide — is developed and coordinated by the highly ranked Department of Mathematical Sciences, together with the Tepper School of Business - one of the top-ranked business schools in the country - and the H. John Heinz III School of Public Policy and Management, also highly ranked among the nation's public policy schools. The program's core is mathematics, with the Tepper School providing courses in finance and financial engineering, and the Heinz School contributing courses in communications and organizational design. Students also receive training in statistics.

With the addition of the BSCF, Carnegie Mellon now offers interdisciplinary quantitative finance programs at every degree level - bachelor's, master's and doctor's. These programs reflect the university's strategic investment across the broad spectrum of disciplines essential to this growing field.

"In this age of ever-changing global markets, we find that the finance industry wants employees with strong interpersonal and quantitative skills at every degree level, including the bachelor's level," noted Shreve, who also plays a key role in other Carnegie Mellon quantitative finance programs.

Computational finance is a field in which deep knowledge of mathematics, statistics and probability is applied to problems in finance. Both theoretical and applied, the BSCF program provides a comprehensive understanding of the mathematics employed to develop models for security prices and their derivatives. It also provides the statistical tools to estimate the parameters of those models, the computing skills to implement them and the financial engineering context in which students can ultimately use all these skills to develop innovative solutions to business problems.

As a result, graduates from the bachelor's program are mathematicians with business acumen. Careers vary but usually include pricing and trading derivatives (contracts whose values are derived from the value of other underlying securities); quantitative portfolio management; market and credit risk management; and software development related to all the above.

"We've witnessed a steadily increasing interest in this type of program on both the part of students from a variety of disciplines as well as from financial institutions," Shreve said. "These factors persuaded us to develop a rigorous and carefully integrated program that drew on the strengths of Carnegie Mellon faculty across multiple disciplines."

Because graduates are well prepared, they are in high demand for full-time employment and internships. In 2006, the program achieved 100 percent placement of graduating students, with several students receiving multiple offers well before graduation. The program also achieved 100 percent placement of rising seniors seeking internships. Graduates of the precursor program to the BSCF now work at Deutsche Bank, Goldman Sachs, Citigroup, UBS, Bank of America, Citadel, American Express and similar institutions.