The Department of Mathematical Sciences has a long history of research and teaching in the field of mathematics related to finance.
The Department is a partner in the interdisciplinary Master of Science in Computational Finance (MSCF). The MSCF program, begun in 1994, was the first computational finance Master's degree in the world, and it has established Carnegie Mellon as a leader in this new discipline.
The Bachelor of Science in Computational Finance (BSCF) is administered by the Department of Mathematical Sciences. This program was founded because recruiters sought undergraduates with skills in the same key areas of finance, mathematics, statistics and programming as they desired at the Master's level. The first BSCF class graduated in 2003, and since then most BSCF graduates have taken positions at major banks.The Bachelor of Science program in Computational Finance (BSCF) at Carnegie Mellon is an applied mathematics program with finance as a well-developed application area. BSCF consists of courses in mathematics, finance, probability/statistics, and computer programming. It is a joint program of the Mellon College of Science (MCS), the Tepper School of Business, and the Heinz School of Public Policy and Management. A student in either MCS or the Tepper School can have Computational Finance as a primary major. Students in any college can have Computational Finance as a secondary major or minor. The BSCF program includes advanced undergraduate mathematics. Because most graduates are expected to enter banks or other financial firms, students who major in BSCF prepare for their careers by also taking graduate courses in the Heinz School on professional speaking, professional writing, and organizational design.
Math Finance Faculty
William J. Hrusa
Professor, Associate Department Head
Mellon College of Science Professor of Mathematical Finance, Director of Center for Computational Finance
John P. Lehoczky
Professor of Statistics and Mathematics
Steven E. Shreve
Orion Hoch University Professor of Mathematical Sciences