MSCF alumni regard our professors as the number one strength of the MSCF program and the primary reason for its success.
From senior faculty with superior achievements to younger academics with new perspectives, MSCF professors are highly respected and knowledgeable in their fields.
While industry practitioners are valuable in the classroom as knowledgeable guest lecturers, we developed our curriculum to be primarily taught by full-time, tenure-track faculty whose research interests are in the areas in which they teach. Whether it’s hosting additional office hours, responding to last-minute questions, offering extra review sessions before exams or creating additional practice materials, professors in the MSCF program are keenly interested in your success.
Assistant Professor of Statistics, received his Ph.D. in statistics from Stanford University in 2014. Dr. G'Sell's research interests involve a variety of theoretical and applied questions in high dimensional statistics and machine learning.
Thomas Lord University Professor of Statistics and Mathematical Sciences received his Ph.D. in statistics from Stanford University in 1969. Dr. Lehoczky’s main teaching and research interest involve the theory and application of stochastic processes. His current focus is on two broad application areas: financial markets and real-time computer and communication systems. In finance, he has been involved in the development of new simulation methodologies to price and hedge complex securities, the estimation of parameters of stochastic differential equations and its application to term structure or asset pricing models, and the behavior of limit-order books. His research in real-time computer systems involves collaboration with researchers at the CMU School of Computer Science, Electrical and Computer Engineering Departments and the Department of Mathematical Sciences. He developed, jointly with Professor Steve Shreve, a new analytic methodology called real-time queueing theory. He has published extensively in journals including the Annals of Applied Probability, Management Science and Real-Time Systems. He has served on the editorial staff of Management Science, IEEE Transactions on Computers, and Real Time Systems. Dr. Lehoczky is a fellow of the American Statistical Association, Institute of Mathematical Statistics, INFORMS, AAAS, is an elected member of the International Statistics Institute, and was co-recipient of the 2016 IEEE Simon Ramo medal.
Assistant Teaching Professor of Statistics & Data Science, received his Ph.D. in statistics from Carnegie Mellon University in 2018. Dr. Reinhart's research includes the use of spatiotemporal point processes to solve interesting applied problems, such as the modeling and prediction of crime. He also conducts research in statistical education and pedagogy, studying the ways students understand statistical concepts, and is the author of the popular book Statistics Done Wrong, on common statistical mistakes made by scientists.
Associate Professor of Statistics, received his Ph.D. in statistics from the University of California, Berkeley in 2004. His primary research interests focus on addressing inference problems in the physical sciences using novel, often computationally- intensive, statistical methods. He is a part of the McWilliams Center for Cosmology at CMU and actively collaborates with researchers in astronomy, particle physics, and risk assessment. He has published in the Journal of the American Statistical Association and the Astrophysical Journal, among others.
John K. Ostlund, Clinical Professor of Information Systems at the Heinz College, currently works as a consultant in the financial industry, developing option pricing software in C++. Formerly, John was Principal Research Programmer at the Auton Lab, a Machine Learning research group at Carnegie Mellon University, for over eight years. In that position, he worked in C and C++ on machine learning algorithms, and the application of these algorithms to large data sets from U.S. government agencies involved in intelligence, health monitoring and fleet maintenance. Prior to the Auton Lab, John was a leadingcourse author and instructor for Learning Tree International, a top-ranked technology and management training company. He developed and taught courses in C++, C, Unix, Linux and Solaris. John holds an MS in Computational Finance from Carnegie Mellon University and a BA in Physics and Mathematics from St. Olaf College.
Assistant Professor of Mathematical Sciences, Dr. Gu earned his PhD from Columbia University in 2014. He spent three years as a Szego Assistant Professor at Stanford University and joined CMU in 2017. His research interests lie broadly in the areas of probability, partial differential equations and applied mathematics, with focuses on stochastic homogenization, wave in random media and stochastic PDE. A central theme is to understand the propagation of stochasticities through complex systems.
Associate Teaching Professor of Mathematical Sciences, Professor Handron earned his Ph.D. in 1999 from Rice University. His research areas have included geometry and topology, and since 2007 he has been the Associate Director of Carnegie Mellon's undergraduate computational finance program.
Professor of Mathematical Sciences, Dr. Hrusa earned his Ph.D. from Brown University. His main areas of research are in partial differential equations, integral equations, and calculus of variations with particular emphasis on problems that arise in continuum mechanics. Current research is focused on Lavrentiev’s phenomenon in the calculus variations, i.e. with situations in which the infimum for a given variational problem is sensitive to the precise degree of regularity that is assumed for the competing functions. A major goal is to understand if this phenomenon can occur for realistic problems in nonlinear elasticity.
Mellon College of Science Professor of Mathematical Finance, Professor Kramkov earned his Ph.D. from the Steklov Mathematical Institute in Moscow in 1991. His current research is mainly focused on topics in mathematical finance such as equilibrium, dynamic game theory, option pricing theory, and optimal investment. In 1996 he received a prize of the Second European Congress of Mathematics in Budapest for his research on statistics and mathematical finance. From 1997 to 2000 Dr. Kramkov worked for Tokyo-Mitsubishi International in London, where he was the Acting Head of Research and Product Development. His main responsibility was the evaluation of complex derivative contracts. Dr. Kramkov currently serves as an Associate Editor of the journal of Finance and Stochastics. He has an affiliation with the University of Oxford, where he is a member of Man-Oxford Institute for Quantitative Finance.
Associate Professor of Mathematical Sciences, Professor Iyer earned his Ph.D. from the University of Chicago in 2006. He was a Szegö Assistant Professor at Stanford University from 2006 to 2009 and joined Carnegie Mellon in 2009. His current research is mainly focused on the theoretical study of problems arising in applied mathematics using tools from partial differential equations and probability. Professor Iyer has won prestigious research awards, including an Alfred P. Sloan fellowship, a National Science Foundation CAREER Grant, and a Simons fellowship. The latter is funded by the Simons Foundation created by James Simons, the founder of the hedge fund Renaissance Technologies.
Orion Hoch and University Professor of Mathematical Sciences and member of the MSCF Steering Committee. Professor Shreve earned his Ph.D. in 1977 from the University of Illinois. His research and teaching interests range from capital asset pricing models to various aspects of mathematical finance, including the effect of transaction costs and unknown volatility on option prices and diffusion models of limit-order books.Dr. Shreve is past-President of the Bachelier Finance Society. In 1994, Dr. Shreve was one of the founders of the Carnegie Mellon Master's program in Computational Finance. Dr. Shreve serves as Advisory Editor of the journal, "Finance and Stochastics." He has co-authored a number of books, including "Brownian Motion and Stochastic Calculus" and "Methods of Mathematical Finance." He has written a two-volume work based on his teaching in the MSCF program, "Stochastic Calculus for Finance."
Javier Pena is the Bajaj Family Professor of Operations Research at the Tepper School of Business, Carnegie Mellon University. He earned his Ph.D. in Applied Mathematics from Cornell University in 1998. His teaching and research interests include financial optimization, machine learning, and convex optimization. Dr Pena's publications have appeared in journals such as Quantitative Finance, Journal of Risk, Mathematics of Operations Research, and the SIAM Journal on Optimization. Dr. Pena has consulted with Axioma Inc. in the development and implementation of algorithmic tools for portfolio management. Dr. Pena was the recipient of the 2005 George Leland Bach MBA Teaching Award for excellence in the classroom.
Teaching Professor of Business Management Communication with the Tepper School of Business for 23 years, Prof. Pierce's research and consulting focuses on the development and implementation of executive problem-solving skills in communications, corporate leadership and communication strategies, cross-team collaboration, and team building. She was honored with the Sustained Excellence in Teaching Award in 2004 as well as the Undergraduate Teaching Award in 1996. She has coached award-winning case competition teams and has mentored students in their new business development plans and presentations. In 2009, she founded what is now called the Communications Studio, a critical mentoring center that is a part of the Accelerate Leadership Center at Tepper. She has consulted with numerous corporations that include PNC Bank, Alcoa, and Bayer, Inc. She also has taught in Carnegie Mellon's Masters of Robotics Systems Development program since its inception in 2011.
Bryan Routledge is an Associate Professor of Finance at the Tepper School of Business, Carnegie Mellon University. He received his Ph.D. from the University of British Columbia in 1996 and a Bachelor of Commerce from Queens University in 1987. His research focuses on a broad selection of topics in finance. Current research applies quantitative text analysis and natural language processing to economic and financial research questions (e.g, how management discussion and analysis conveys risk, and how Twitter can track public opinion). Other recent research investigates the quantitative properties of asset prices and macroeconomics such as the positive correlation of asset returns with future economic growth and understanding the connection between risk attitudes and asset pricing dynamics, and the risk premia of commodity prices. He is an associate editor at the Journal of Quantitative Finance and the Critical Review of Finance and current Secretary Treasurer of the Western Finance Association. Teaching has included "Corporate Finance," "Private Equity and Venture Capital", and "Alpha: Implementing Quantitative Strategies."
BNY Mellon Professor of Finance at the Tepper School of Business. Received his Ph.D. from the University of Chicago in 1988. His teaching and research interests include energy and commodity derivatives, stochastic volatility modeling, market microstructure, limit orders, and liquidity. His research has been published in the Review of Financial Studies, Journal of Finance, Journal of Financial Economics and other leading finance and economics journals. His research has been recognized by awards from the the Q-Institute, the Western Finance Association, and the Journal of Asset Pricing Studies. He has been on the editorial boards of the Journal of Finance, the Review of Financial Studies, the Journal of Financial Markets, and the Review of Finance. He was a visiting scholar at the US Securities and Exchange Commission and at Nanyang Business School.
Teaching Professor in Management Communication received his Ph. D. from Carnegie Mellon University in 1989 with a dissertation on the differences between expert and novice management consultants. Since then, he has served as a management consultant for a number of U.S. firms and start-ups. Dr. Young's current research is focused on cyber-security expertise. He has presented many papers at national conferences. He is the author of Persuasive Communication: How Audiences Decide, 2nd edition. New York: Routledge, 2017.
Ariel Zetlin-Jones is an Assistant Professor of Economics at the Tepper School of Business, Carnegie Mellon University. He received his Ph.D. from the University of Minnesota in 2012 and a Bachelor of Arts from Williams College in 2004. Ariel's research focuses on the interaction of finance and the macroeconomy, including an examination of the causes of financial crises and the quantitative effects of disturbances in financial markets on broader economic activity. Ariel's research on the nature of collapses in secondary loan markets (e.g., the market for mortgage-backed securities) was recently published in the American Economic Review. Additionally, Ariel is a co-organizer of the Tepper-LAEF "Advances in Macro-Finance" Conference.
Leif B. G. Andersen is the Global Head of the Quantitative Strategies Group at Bank of America Merrill Lynch. He holds MCs in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a Ph.D. in Finance from Aarhus Business School. He was a co-recipient of Risk Magazine's Quant of the Year Award in 2001 and again in 2017. He has worked for more than 20 years as a quantitative researcher in the derivatives pricing and risk management areas.
Ed Barr received his master’s degree from Indiana University of Pennsylvania in 1976. He served as Chief Marketing Officer at Carnegie Mellon’s subsidiary, iCarnegie, from 2010 to 2012, as well as associate teaching professor at CMU’s Heinz College from 2000 to 2010. He has served as Vice President of Marketing for Allegheny University Medical Practices and has held other marketing, teaching and executive education roles. Barr is certified as a teacher of English as a Second Language and has taught in China, India, Mexico, South America and Europe. Barr is the author of several books, including “Seven Secrets to Successful Business Writing,” “Seven Secrets to Successful Business Presentations” (both in English and Spanish) and “Ask the Right Questions; Get the Right Job.”
Professor Bryant, Adjunct Professor of Industrial Administration, received his BA from Denison University in 1975 and MBA from Carnegie Mellon in 1980. Following six years with H.J. Heinz Company in their Corporate M&A and Treasury areas, Bryant became Reebok International's Treasurer in 1988 and in 1993, Chief Financial Officer of Hefren-Tillotson, a broker/dealer and investment advisor. Professor Bryant joined the Tepper School in 1999 as the Executive Director of Carnegie Mellon's Computational Finance Program and over the years has taught both in Tepper's undergraduate finance program and in the MSCF program.
Nick Psaris has been developing automated trading systems for over 20 years. After graduating Duke University with a degree in Physics and Chinese, he began his career in finance at Morgan Stanley in New York. He obtained his CFA charter in 2003, and a Masters in Computational Finance from the Tepper School of Business at Carnegie Mellon University in 2006. Nick then moved to Hong Kong and built an equity portfolio trading and backtesting system in q. After spending three years at Liquid Capital Markets Hong Kong building a high frequency automated market making system in q, Nick wrote “Q Tips: Fast, Scalable and Maintainable Kdb+” based on his years of practical experience developing production trading systems in q. Nick joined a top tier American investment bank in 2012, where he built an inventory optimization platform in q. Nick is now living in New York and using q to build the data and analytics platform for the firm's Central Risk Desk.
Reha Tutuncu is the Chief Risk Officer at SECOR Asset Management. Prior to SECOR, he was a member of the Global Stock Selection group at AQR Capital Management, and before AQR he was a Managing Director in the Quantitative Investment Strategies Group at Goldman Sachs Asset Management. Earlier, he was an Associate Professor at Carnegie Mellon University. He is a co-author of the book Optimization Methods in Finance and a member of the editorial board of the Journal of Computational Finance. Reha earned a B.S. in industrial engineering from Bilkent University and an M.S. and Ph.D. in operations research and industrial engineering from Cornell University.
Devin Anderson is a Managing Director in equity derivative sales at Deutsche Bank, specializing in advising and facilitating asset manager and hedge fund trading. He works closely with clients to develop hedging programs, express market views and interpret market sentiment from equity derivative implied prices. He has extensive experience in synthetic equity products and options, as well as over-the-counter volatility, dividend and correlation derivatives. Devin joined Deutsche Bank in 2006. He holds a Bachelor of Finance from the University of Pittsburgh and an MBA from Carnegie Mellon.
Peter Cai, is Chief Risk Officer of Global Atlantic Financial Group. Until recently, he was a managing director at Morgan Stanley in charge of portfolio risk management and stress testing. Peter also worked as a risk strategist in the Fixed Income division at Lehman Brothers and as the global director of consulting at Askari, a boutique risk solutions firm. Peter holds a Ph.D. in Materials Science from Pennsylvania State University and the Financial Risk Manager (FRM) and Professional Risk Manager (PRM) certifications
Giuseppe Nuti is currently the head of Fixed Income trading at UBS New York. He has worked as a trader for over fifteen years, initially in the interest-rates options and swaps market and, since 2006, in the European and US Government bond markets algorithmic trading, where he specialized in high frequency strategies at KCG and Citadel, before joining UBS in 2014. His research interests are in algorithmic trading, numerical solutions to Bayesian inference, and interaction between market participants in price-setting microstructure. He holds a Ph.D in Computer Science with particular focus on Markov Decision Processes applied to finance and an MSc in financial mathematics from City University, London.
Paul Russo is global co-COO of the Equities Franchise at Goldman Sachs, serving on the Firmwide Risk Committee, Firmwide New Activity Committee and Securities Division Executive Committee. Paul joined Goldman in 1989 in US Equity Derivatives where he was responsible for the Portfolio Trading and the Index Volatility businesses. In 1997, Paul moved to Hong Kong to run non-Japan Asia Equity Derivatives. In 2000, he transferred to co-head the Fixed Income, Currency and Commodities Division in non-Japan Asia and in 2002, moved to the Equities Division in London to head the Equity Derivatives business in Europe. Paul was named Partner in 2000. Paul earned an MBA from the University of Chicago in 1990 and a Bachelor of Science from Carnegie Mellon in 1986.