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 of the University of California, Berkeley. 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 "Mark Rubinstein" on Research Papers in Economics site. and four books.
Biography Rubinstein had been on the Haas faculty since 1972. He was instrumental in building the Haas-Berkeley Master of Financial Engineering (MFE) Program,Master of Financial Engineering Program, mfe.haas.berkeley.edu 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 magna cum laude , an MBA in finance from Stanford University, and a PhD in finance from the University of California, Los Angeles.
Research Rubinstein was a senior and pioneering academic in the field of finance, focusing on derivatives, particularly options, and was known for his contributions to both theory and practice,Nassim Taleb's Review of Derivatives, by Mark Rubinstein especially portfolio insurance and the binomial options pricing model (also known as the Cox-Ross-Rubinstein model), as well as his work on discrete time stochastic calculus 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."The Evolution of Portfolio Insurance" (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 (ETF) in the United States.
Rubinstein popularized the term "exotic option" in 1990/92 working paper "Exotic Options" (with Eric Reiner), with the term based either on "exotic wagers" in Horse racing, or due to the use of international terms such as "Asian option", suggesting the "exotic Orient". He was also pioneering in the development of the implied binomial tree, Rubinstein, M. (1994). "Implied Binomial Trees". The Journal of Finance, 49: 771-818. a method for inferring risk-neutral probabilities (or state-contingent prices) from the simultaneously observed prices of European options.
See also Compound option Edgeworth binomial tree Implied binomial tree Lattice model (finance) Rainbow option
References
External links Faculty Profile Personal Homepage (Archived) SSRN Author Page