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Certificate in Computational Finance

Program Description
Since Fall 2008, Cornell Financial Engineering Manhattan (CFEM) at 55 Broad Street in NYC has served as the home base for Master of Engineering students completing the third and final semester of ORIE’s Financial Engineering (FE) program. Complementing the theoretical foundation that FE students gain in Ithaca during their first two program semesters, the CFEM semester provides them a practical understanding of the financial markets through its application-focused curriculum and its numerous professional development activities and networking opportunities. The CFEM semester includes capstone team-based project work with sponsoring organizations. Recent project sponsors include Alliance Bernstein, Barclays Capital, Cantor Fitzgerald, Citi, Goldman Sachs Asset Management, Guggenheim Partners, and KALX.

The Certificate in Computational Finance (CCF) program is an option that enables qualified Cornell Master of Engineering students to spend a (fall) semester at CFEM alongside ORIE’s FE students and to participate in project work. CCF candidates are able to leverage the CFEM experience for its multi-faceted exposure to practical finance, its bolstering of industry-relevant computational skills, and its networking opportunities. Before and during the CFEM semester, students in the CCF program are eligible for the same associated benefits as ORIE FE students, such as inclusion in the CFEM resume book, notification of summer internships, access to programs and activities based in NYC, and facilitated housing for the CFEM semester.

MEng students are selected for the CCF program based on their background, interests, and overall fit with the CFEM environment and mission. In most cases, CCF students must complete their home department’s MEng program requirements prior to starting at CFEM. During the CFEM semester, CCF students remain enrolled as MEng students in their home department’s program, and their MEng degrees are not conferred until they successfully complete the CCF program.

Application Process
Any MEng student wishing to pursue a Certificate in Computational Finance should arrange a meeting with the Master of Engineering (MEng) Director in ORIE. Prior to the meeting, the student should submit the following documents to the Graduate Field Associate in ORIE:

  • A current resume;
  • Copies of all university transcripts (including the current Cornell transcript); and
  • A proposed study plan for completing the certificate requirements. (The appropriate form is available from the Graduate Field Associate in ORIE).

Following the meeting, the MEng Director may grant the student preliminary approval to pursue the Certificate in Computational Finance. Final approval is contingent upon the student’s successful completion of the pre-CFEM certificate requirements (see below), and in most cases, successful completion of their home department’s MEng program requirements. During the spring semester, the student will be included in all preparatory activities for CFEM, including the project selection and assignment process.

Certificate Requirements
In order to receive the Certificate in Computational Finance, the MEng student must successfully complete all course requirements listed below (i.e., pass with a C- or better) and must achieve a grade point average of 2.50 or higher. All courses (with the exceptions of ORIE 9160 and ORIE 9110) must be taken for a letter grade.

At the discretion of the student’s home department academic advisor and MEng Director, courses completed to satisfy pre-CFEM certificate requirements may also be used to satisfy MEng degree requirements. However, no required CFEM coursework may be used to satisfy MEng degree requirements.

Prior to starting at CFEM, certificate candidates must complete approved coursework in the following areas (or obtain waivers based on prior coursework). All study plans and waivers must be approved by the ORIE MEng Director. Courses must be at least 3 credit hours in duration (exception -- ORIE 5582 for 2 credit hours will count for Computational Methods):

  • Finance: 1 course (e.g., NCC 5560 or equivalent)
  • Probability: 1 course at or above the 4000-level (e.g., ORIE 5500)
  • Statistics: 1 course at or above the 4000-level (e.g., ORIE 5640, ORIE 5550)
  • Computer Programming: 1 course at or above the 2000-level in CS (e.g., CS 2110)
  • Additional Programming, Algorithms, Computational Methods: 2 courses at or above the 3000-level

At CFEM, certificate candidates must complete the following coursework:

  • ORIE5630: Computational Methods in Finance, 3 credits
  • ORIE5961: Financial Engineering Project, 5 credits
  • ORIE9160: Financial Engineering Colloquium, 1 credit
  • At least 4 credit hours from among the following:
    • ORIE5660: Bond Mathematics and MBS, 3 credits
    • ORIE5912: Special Topics in FE (Quantitative Risk Management in 2012), 2 credits
    • ORIE5913: Special Topics in FE (Corporate Credit Analysis in 2012), 2 credits
    • ORIE5914: Special Topics in FE (Equity Derivatives in 2012), 2 credits
    • ORIE5915: Special Topics in FE (High Frequency Trading in 2012), 2 credits

International students wishing to count an interim summer internship experience as Curricular Practical Training (CPT) must also take:

  • ORIE9110: MEng Professional Review, 1 credit