Mark Edward Rubinstein (June 8, 1944 – May 9, 2019) was a leading

financial economist Financial economics, also known as finance, is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on ''both sides'' of a trade". William F. Sharpe"Financia ...

and

financial engineer 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 mathema ...

. He was ''Paul Stephens Professor of Applied Investment Analysis'' at the

Haas School of Business The Walter A. Haas School of Business, also known as Berkeley Haas, is the business school of the University of California, Berkeley, a public research university in Berkeley, California. It was the first business school at a public university i ...

of the

University of California, Berkeley The University of California, Berkeley (UC Berkeley, Berkeley, Cal, or California) is a public land-grant research university in Berkeley, California. Established in 1868 as the University of California, it is the state's first land-grant u ...

. He held various other professional offices, directing the

American Finance Association The American Finance Association (AFA) is an academic organization whose focus is the study and promotion of knowledge of financial economics. It was formed in 1939. Its main publication, the ''Journal of Finance'', was first published in 1946. ...

, 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 and is considered to be one of the premier finance journals. The editor-in-chief ...

''. He was the author of numerous papers and four books. His book ''Option Markets'', was "the first work that popularized probabilistic and scientific methods in options, helping inaugurate the derivatives revolution." Rubinstein was a senior and pioneering academic in the field of

finance Finance is the study and discipline of money, currency and capital assets. It is related to, but not synonymous with economics, the study of production, distribution, and consumption of money, assets, goods and services (the discipline of fina ...

, focusing on

derivatives The derivative of a function is the rate of change of the function's output relative to its input value. Derivative may also refer to: In mathematics and economics * Brzozowski derivative in the theory of formal languages * Formal derivative, an ...

, 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 whose 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 f ...

(also known as the

Cox Cox may refer to: * Cox (surname), including people with the name Companies * Cox Enterprises, a media and communications company ** Cox Communications, cable provider ** Cox Media Group, a company that owns television and radio stations ** ...

Ross Ross or ROSS may refer to: People * Clan Ross, a Highland Scottish clan * Ross (name), including a list of people with the surname or given name Ross, as well as the meaning * Earl of Ross, a peerage of Scotland Places * RoSS, the Republic of Sou ...

-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. 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 and exchange-traded product, i.e. they are traded on stock exchanges. ETFs are similar in many ways to mutual funds, except that ETFs are bought and sold from other owners throughout the ...

(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 opt ...

" 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 sport, 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 basic p ...

, 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 Master or masters may refer to: Ranks or titles * Ascended master, a term used in the Theosophical religious tradition to refer to spiritually enlightened beings who in past incarnations were ordinary humans * Grandmaster (chess), National Maste ...

(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 mathema ...

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 Ivy League research university in Cambridge, Massachusetts. Founded in 1636 as Harvard College and named for its first benefactor, the Puritan clergyman John Harvard, it is the oldest institution of higher le ...

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 So ...

'', an

MBA A Master of Business Administration (MBA; also Master's in Business Administration) is a postgraduate degree focused on business administration. The core courses in an MBA program cover various areas of business administration such as accounti ...

in finance from

Stanford University Stanford University, officially Leland Stanford Junior University, is a private research university in Stanford, California. The campus occupies , among the largest in the United States, and enrolls over 17,000 students. Stanford is consider ...

, and a PhD in finance from the

University of California, Los Angeles The University of California, Los Angeles (UCLA) is a public land-grant research university in Los Angeles, California. UCLA's academic roots were established in 1881 as a teachers college then known as the southern branch of the California St ...

References

External links

Faculty Profile

Personal Homepage
(

Archived An archive is an accumulation of historical records or materials – in any medium – or the physical facility in which they are located. Archives contain primary source documents that have accumulated over the course of an individual or ...

)
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 Financial economists Jewish American scientists 1944 births 2019 deaths Presidents of the American Finance Association 21st-century American Jews

See also

References

External links