Mark Edward Rubinstein (June 8, 1944 – May 9, 2019) was a leading financial economist and financial engineer. He was Paul Stephens Professor of Applied Investment Analysis at the

Haas School of Business The Walter A. Haas School of Business (branded as Berkeley Haas) is the business school of the University of California, Berkeley, a Public university, public research university in Berkeley, California. It was the first business school at a pub ...

of the

University of California, Berkeley The University of California, Berkeley (UC Berkeley, Berkeley, Cal, or California), is a Public university, public Land-grant university, land-grant research university in Berkeley, California, United States. Founded in 1868 and named after t ...

. He held various other professional offices, directing the American Finance Association, amongst others, Mark Rubinstein CV
at berkeley.edu and was editor of several first-tier academic journals including both the ''

Journal of Financial Economics The ''Journal of Financial Economics'' is a peer-reviewed academic journal published by Elsevier, covering the field of finance. It is considered to be one of the premier finance journals. According to the ''Journal Citation Reports'', the journa ...

'' and the ''

Journal of Finance ''The Journal of Finance'' is a peer-reviewed academic journal published by Wiley-Blackwell on behalf of the American Finance Association. It was established in 1946. The editor-in-chief is Antoinette Schoar. According to the ''Journal Citation R ...

''. He was the author of numerous papers and four books. Rubinstein was a senior and pioneering academic in the field of

finance Finance refers to monetary resources and to the study and Academic discipline, discipline of money, currency, assets and Liability (financial accounting), liabilities. As a subject of study, is a field of Business administration, Business Admin ...

, focusing on derivatives, particularly options, and was known for his contributions to both theory and practice,

Nassim Taleb Nassim Nicholas Taleb (; alternatively ''Nessim ''or'' Nissim''; born 12 September 1960) is a Lebanese-American essayist, mathematical statistician, former option trader, risk analyst, and aphorist. His work concerns problems of randomness ...

'
Review of ''Derivatives'', by Mark Rubinstein
/ref> especially portfolio insurance and the

binomial options pricing model In finance, the binomial options pricing model (BOPM) provides a generalizable numerical method for the valuation of options. Essentially, the model uses a "discrete-time" ( lattice based) model of the varying price over time of the underlying fin ...

(also known as the Cox- Ross-Rubinstein model), as well as his work on discrete time

stochastic calculus Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. This field was created an ...

more generally. His book ''Option Markets'', was "the first work that popularized probabilistic and scientific methods in options, helping inaugurate the derivatives revolution." Along with fellow Berkeley finance professor Hayne E. Leland and adjunct professor John O'Brien, Rubinstein developed the portfolio insurance financial product in 1976. (This strategy later became associated with the October 19, 1987, Stock Market Crash; see ). With Leland and O'Brien he also introduced the first

exchange-traded fund An exchange-traded fund (ETF) is a type of investment fund that is also an exchange-traded product, i.e., it is traded on stock exchanges. ETFs own financial assets such as stocks, bonds, currencies, debts, futures contracts, and/or comm ...

(ETF) in the United States. Rubinstein popularized the term "

exotic option In finance, an exotic option is an option which has features making it more complex than commonly traded vanilla options. Like the more general exotic derivatives they may have several triggers relating to determination of payoff. An exotic op ...

" in 1990/92 working pape
"Exotic Options"
(with Eric Reiner), with the term based either on "exotic wagers" in

Horse racing Horse racing is an equestrian performance activity, typically involving two or more horses ridden by jockeys (or sometimes driven without riders) over a set distance for competition. It is one of the most ancient of all sports, as its bas ...

, or due to the use of international terms such as "Asian option", suggesting the "exotic Orient". Rubinstein had been on the Haas faculty since 1972. He was instrumental in building the Haas-Berkeley Master of Financial Engineering (MFE) Program, focused on equipping candidates with skills in

financial engineering Financial engineering is a multidisciplinary field involving financial theory, methods of engineering, tools of mathematics and the practice of programming. It has also been defined as the application of technical methods, especially from mathe ...

for careers as quants; he was also involved in teaching courses on the program; and previously various other finance courses, both on the Haas-MBA and at Berkeley. The Berkeley-MFE was considered by many as the number one financial engineering program in the US.The Berkeley MFE Program has been ranked #1 by Global Derivatives and named one of the top 10 quant schools by ''Advanced Trading'' magazine. He held a BA in economics from

Harvard University Harvard University is a Private university, private Ivy League research university in Cambridge, Massachusetts, United States. Founded in 1636 and named for its first benefactor, the History of the Puritans in North America, Puritan clergyma ...

magna cum laude Latin honors are a system of Latin phrases used in some colleges and universities to indicate the level of distinction with which an academic degree has been earned. The system is primarily used in the United States. It is also used in some Sout ...

'', an

MBA A Master of Business Administration (MBA) is a professional degree focused on business administration. The core courses in an MBA program cover various areas of business administration; elective courses may allow further study in a particular a ...

in finance from

Stanford University Leland Stanford Junior University, commonly referred to as Stanford University, is a Private university, private research university in Stanford, California, United States. It was founded in 1885 by railroad magnate Leland Stanford (the eighth ...

, and a

PhD A Doctor of Philosophy (PhD, DPhil; or ) is a terminal degree that usually denotes the highest level of academic achievement in a given discipline and is awarded following a course of graduate study and original research. The name of the deg ...

in finance from the

University of California, Los Angeles The University of California, Los Angeles (UCLA) is a public university, public Land-grant university, land-grant research university in Los Angeles, California, United States. Its academic roots were established in 1881 as a normal school the ...

References

External links

Faculty Profile

Personal Homepage
( Archived)
SSRN Author Page
{{DEFAULTSORT:Rubinstein, Mark Haas School of Business faculty Harvard University alumni Stanford Graduate School of Business alumni University of California, Los Angeles alumni American financial economists Jewish American scientists 1944 births 2019 deaths Presidents of the American Finance Association 21st-century American Jews

See also

References

External links