Carnegie Mellon University
Master of Science in Computational Finance  ›  Academics  ›  Curriculum  ›  Year One

Year One

Building Your Foundation

In your first year, you will:

  • Master core finance theories, stochastic calculus, and risk measurement techniques
  • Develop skills in regression, time series analysis, and financial data science
  • Learn Python and other industry-standard object-oriented programming languages essential for a quantitative finance career
  • Build communication and presentation skills to confidently articulate complex concepts
  • Collaborate on team-based financial engineering projects that simulate real-world industry challenges
  • Participate in communications workshops designed to prepare you for the professional expectations and culture of the finance industry

Year One Courses

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46901 Financial Computing I

Financial Computing 1 builds on MSCF Programming Prep with more advanced topics and programming paradigms in the Python programming language. Foundational data structures and algorithms are covered with an emphasis on producing clear and efficient code. Top-down design,…

46902 Financial Computing II

Financial Computing II will introduce the fundamentals of the C++ programming language:1. Variables, assignment, literals, fundamental data types (char, int, double, bool, unsigned), decisions, loops (while and for), arithmetic, equality/inequality, relational and logical…

46903/46950 Financial Computing III

In Financial Computing III we implement in C++ the key numerical routines used in financial industry. The topics include spline interpolation, least-square fitting, Chebyshev's approximation, finite-differences, Fast Fourier Transform, integration of discontinuous…

46906 MSCF Business Communication I

The world's top financial organizations want the best communicators. Excellent communicators develop their skills through constant practice and craft. To that end, MSCF offers Business Communication 1. Business Communication 1 focuses on interviewing, networking, and…

46907 MSCF Business Communication II

Financial professionals are overwhelmed with messages. The messages that break through the clutter are well crafted and persuasive using techniques that are proven to grab attention, create interest and lead to action. Financial professionals who master these skills…

46909 MSCF Practitioner Lecture Series

The MSCF Practitioner Lecture Series will provide first year MSCF students an opportunity to interact and learn from industry practitioners who are employed in a variety of roles within the quantitative finance industry. The course comprises two key modules. The first…

46921 Financial Data Science I

The first in a two-course sequence covering methods of extracting useful information from raw financial data. Focus is placed on fundamental tools of statistical inference useful for fitting models to financial data, including those with complex multivariate form. Topics…

46923 Financial Data Science II

The second in a two-course sequence covering methods of extracting useful information from raw financial data. Focus is placed on tools of data exploration and mining, motivated by the handling of modern financial data sets. Topics include data cleaning, data…

46926 Machine Learning I

The first in a two-part sequence covering statistical machine learning aimed at quantitative finance. This first course covers tools and approaches for prediction, including both regression and classification. The focus is on understanding the foundations of the methods so…

46927 Machine Learning II

The second in a two-course sequence covering statistical machine learning aimed at quantitative finance. The course further covers methods for regression and classification, along with other advanced topics in statistics and machine learning. Topics will be drawn from…

46929 Financial Time Series Analysis

This course introduces time series methodology to the MSCF students. Emphasis will be placed on basic time series models (AR, MA, ARMA and ARIMA) and their use in financial applications, including forecasting and the development of quantitative trading strategies. Topics…

46932 Simulation Methods for Option Pricing

This course initially presents standard topics in simulation including random variable generation, statistical analysis of simulation output and variance reduction methods including antithetic variables, control variables, importance sampling, conditional Monte Carlo,…

46944 Stochastic Calculus for Finance I

The main focus of this course is to understand the basics of arbitrage free pricing, and the mathematical tools used to price securities. We will begin with a rapid introduction to the multi-period Binomial model, and then mainly focus on continuous time markets. The…

46945 Stochastic Calculus for Finance II

This course uses stochastic calculus to develop models for equity and fixed income derivatives. The role and limitations of risk-neutral pricing will be discussed. Both risk-neutral and forward measures will be used, and change of measure associated with change of currency…

46956 Fixed Income

This course introduces the most important 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, callable bonds, mortgage-backed…

46971 Presentations for Financial Computation

You are never more visible in a financial organization than when you present. Clients and top management make conscious and unconscious decisions about your capabilities based upon your ability to communicate your ideas persuasively and succinctly. This course provides…

46971 Financial Products and Markets

This course is concerned with the structure and functioning of financial markets and products with focus on areas that are not covered, or only partially covered, elsewhere in the MSCF curriculum. The course will be organized into modules, with each module primarily taught…

46972 MSCF Investments

MSCF Investments gives students a foundation for quantitative portfolio management and for understanding market price determination. Key concepts include risk measurement, risk-reward trade-offs, equilibrium asset pricing, portfolio optimization, benchmarking, price…

46973 MSCF Options

The goal of the Options course is to develop tools to price and hedge and understand the risk exposures of any contingent claim on any underlying variable. In addition, important empirical facts about option pricing are also reviewed. The types of options considered…
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