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Computational Finance at Carnegie Mellon

The Center for Computational Finance hosts the Nash Lecture Series, which brings to campus distinguished researchers who have applied mathematical methods to solve problems in finance. Past lecturers were Robert Merton, Stephen Ross, Harry Markowitz and Darrell Duffie.

The series is named for John F. Nash, Jr., who earned his bachelor's and master's degrees in mathematics in 1948 from the Carnegie Institute of Technology, which has since been renamed Carnegie Mellon University. In 1994 Nash shared in the Alfred Nobel Memorial Prize in Economics.

The Center also hosts the Heath Lecture series, in honor of David Heath, who retired from Carnegie Mellon in 2006. Heath is best known for the Heath-Jarrow-Morton model of the term structure of interest rates.

Ph.D. students at Carnegie Mellon may choose financial mathematics as a dissertation topic. Some of these students intern in the finance industry during their Ph.D. programs and about half these students ultimately enter the finance industry. The other half take academic positions after completing the Ph.D. degree.

The Department of Mathematical Sciences 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.