EDUCATION DEPARTMENT / THE UNIVERSITY
OF THE STATE OF
Higher Education and Professional Practice Committee
August 7, 2006
Issue for Decision (Consent Agenda)
Board of Regents renew permission for
Required by State statute
The question will come before the Higher Education and Professional Practice Committee at its September 2006 meeting, where it will be voted on and action taken. It will then come before the full Board at its September 2006 meeting for final action.
On July 21,
1995, the Board of Regents authorized
Education Law §224(1)(a) provides, “No individual, association, partnership or corporation not holding university, college, or other degree conferring powers by special charter from the legislature of this state or from the regents, shall confer any degree . . . unless the right to do so shall have been granted by the regents in writing under their seal.”
that the Board of Regents renew the authorization granted to
Timetable for Implementation
If the Board
of Regents renews Carnegie Mellon’s permission to operate, the Department will
continue the registration of the Computational Finance program and the
University will continue to enroll students at its
Information in Support of Recommendation
The Tepper School of Business, home of the Computational Finance program, is accredited by AACSB--the Association to Advance Collegiate Schools of Business. The School’s mission statement says:
The Tepper School of Business at Carnegie Mellon is committed to improving the leadership and problem-solving capabilities of individuals so as to enhance their value to organizations and society at large. The Tepper School of Business strives for excellence in the creation and dissemination of knowledge that is grounded in scientific principles and directed toward improving the practice and profession of management. The Tepper School of Business achieves its mission through the creation and implementation of both general management programs, and also through conducting, publishing and transferring to society research that is of value and importance.
Tepper has approximately
1,100 students and 193 faculty members.
In addition to the Computational Finance program, through Tepper the
University offers baccalaureate study in business, M.B.A. programs, and Ph.D.
programs in accounting, behavioral science/organizational behavior, and computer
information systems management. It
has offered the Computational Finance program on campus since 1994 and in
Twenty-three students in
B. Curriculum. The purpose of the Computational Finance program is to educate investment professionals to integrate sophisticated mathematical techniques with financial theory and computer technology. Entering students learn C++ to prepare them to create software in subsequent courses. The curriculum comprises 24 courses, covering the institutional issues of finance, traditional financial theories of equity and bond portfolio management, the stochastic calculus models on which derivative trading is based, the application of these models in both fixed income and equity markets, computational methods including simulation and finite difference approximations of partial differential equations, statistical methodologies including regression and time series, statistical arbitrage, risk management, and dynamic asset management. It concludes with courses in financial computing and financial engineering.
For admission, applicants need an undergraduate degree in a technical discipline, such as mathematics, computer science, engineering, or economics, with at least two semesters of differential and integral calculus (and preferably strong performance in courses beyond that level, such as linear algebra and differential equations), proficiency in calculus-based probability, and fluency in a general-purpose programming language such as C. (Applicants lacking fluency may be admitted conditionally upon achieving fluency prior to entering the program.) Relevant professional experience is preferred but not required.
Applicants must submit either GMAT or GRE scores, unless they already hold Ph.D. degrees. (Eight percent of the fall 2005 entering class held Ph.D. degrees.) The mean GMAT score of the 2005 class was 692 total; the mean GRE scores were 571 verbal and 784 quantitative.
About half of each entering class are non-citizens. International students must understand rapid, idiomatic English, read English with ease, and express themselves orally and in writing in English as demonstrated on the TOEFL examination.
Carnegie Mellon reported that 38 percent of the fall
2005 entering class (
For 2006-07, full-time tuition is $41,900 per
year. Part-time tuition is $2,766
per six-unit course. Since Carnegie
Mellon is not a
D. Faculty. Tepper has 98 full-time and 95 part-time faculty.
Twenty-one full-time faculty teach the 35 students in
According to Carnegie Mellon, between 1978 and 2004, five of its faculty have been awarded the Nobel Memorial Prize in Economics: Herbert Simon, Franco Modigliani, Merton Miller, Robert Lucas, and Fynn Kidland.
A Friday lunch-time Speaker Series in
Carnegie Mellon’s main campus is on 103 acres just east of downtown in
the city of
All Computational Finance students are required to have access to laptop computers, which are available for purchase from the University. Faculty use electronic softboards to put all written notes on the laptops. The live video is also captured digitally and posted on the Internet for student use.
F. Program Registration. The M.S. program in Computational Finance has been registered since 1995 as meeting the standards set forth in the Regulations of the Commissioner of Education.
G. Need. The securities industry had 489,000 professional employees in 2004, according to the 2006 edition of the U.S. Labor Department’s Occupational Outlook Handbook. The Handbook states, “Wage and salary employment in securities, commodities, and other investments is projected to rise 16 percent from 2004 to 2014, compared to the 14 percent increase expected for wage and salary employment across all industries. Employment growth will be driven primarily by increasing levels of investment in securities and commodities in the global marketplace, as well as the growing need for investment advice. In addition to the many new job openings stemming from this growth, a large number of openings will arise as people retire or leave the industry for other reasons.”
According to Carnegie Mellon, it created the Computational Finance program in 1994 to fill a need in the financial services industry for graduates with more mathematical preparation than those coming out of the nation’s top business schools. The program prepares graduates to work exclusively in the financial services industry. Their careers “usually revolve around derivatives pricing and trading, financial risk management, structured products, analytics software development and quantitative portfolio management. Some develop proprietary trading strategies for the hedge funds. Some start their own financial software firms.”
H. Effect on Other Institutions. In
Carnegie Mellon believes that it was the first institution in the nation to offer a master’s degree program in Computational Finance when it introduced this program in 1994. In 1995, the Department’s planning review of the University’s request to offer the program in Manhattan concluded that, while some New York institutions’ master’s programs in finance included some work in computational finance, none offered a full program in that subject.
Because the Carnegie Mellon program has been operating in