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, 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 universit ...

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 un ...

. 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'' and the '' Journal of Finance''. 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 f ...

, focusing on derivatives, particularly

options Option or Options may refer to: Computing *Option key, a key on Apple computer keyboards *Option type, a polymorphic data type in programming languages *Command-line option, an optional parameter to a command *OPTIONS, an HTTP request method ...

, and was known for his contributions to both theory and practice, Nassim Taleb'
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- Ross-Rubinstein model), as well as his work on discrete time stochastic calculus 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 th ...

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

, 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 Master ...

(MFE) Program, focused on equipping candidates with skills in financial engineering 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 highe ...

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 Sou ...

'', an MBA 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 conside ...

, and a

PhD PHD or PhD may refer to: * Doctor of Philosophy (PhD), an academic qualification Entertainment * '' PhD: Phantasy Degree'', a Korean comic series * '' Piled Higher and Deeper'', a web comic * Ph.D. (band), a 1980s British group ** Ph.D. (Ph.D. al ...

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 Californ ...

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 o ...

)
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