Mark Rubinstein
Encyclopedia
Mark Edward Rubinstein is a leading financial economist
and financial engineer. He is currently Professor of Finance at the Haas School of Business
of the University of California, Berkeley
, where he is involved in teaching courses in the Master of Financial Engineering (MFE) Program, an academic program that is focused on equipping candidates with skills in financial engineering for careers as financial quantitative analysts
. Mark Rubinstein has been instrumental in building the Berkeley MFE program, 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 is a senior academic in the field of finance
, focusing on derivatives
, particularly options
, and is probably best known for his contributions to financial theory and practice such as 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.
Along with fellow Berkeley finance professor Hayne E. Leland, Rubinstein developed the portfolio insurance
financial product in 1976. This strategy later became associated with the October 19, 1987, Stock Market Crash
.
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".
Professor Rubinstein was named "Financial Engineer of the Year" by the International Association of Financial Engineers
in 1995, and served as President of the American Finance Association
in 1993. He holds an AB
in economics from Harvard University
, an MBA in finance from Stanford University
, and a PhD
in finance from the University of California, Los Angeles
.
Financial economics
Financial Economics is the branch of economics concerned with "the allocation and deployment of economic resources, both spatially and across time, in an uncertain environment"....
and financial engineer. He is currently Professor of Finance at the Haas School of Business
Haas School of Business
The Walter A. Haas School of Business, also known as the Haas School of Business or simply Haas, is one of 14 schools and colleges at the University of California, Berkeley....
of the University of California, Berkeley
University of California, Berkeley
The University of California, Berkeley , is a teaching and research university established in 1868 and located in Berkeley, California, USA...
, where he is involved in teaching courses in the Master of Financial Engineering (MFE) Program, an academic program that is focused on equipping candidates with skills in financial engineering for careers as financial quantitative analysts
Quantitative analyst
A quantitative analyst is a person who works in finance using numerical or quantitative techniques. Similar work is done in most other modern industries, but the work is not always called quantitative analysis...
. Mark Rubinstein has been instrumental in building the Berkeley MFE program, 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 is a senior academic in the field of finance
Finance
"Finance" is often defined simply as the management of money or “funds” management Modern finance, however, is a family of business activity that includes the origination, marketing, and management of cash and money surrogates through a variety of capital accounts, instruments, and markets created...
, focusing on derivatives
Derivative (finance)
A derivative instrument is a contract between two parties that specifies conditions—in particular, dates and the resulting values of the underlying variables—under which payments, or payoffs, are to be made between the parties.Under U.S...
, particularly options
Option (finance)
In finance, an option is a derivative financial instrument that specifies a contract between two parties for a future transaction on an asset at a reference price. The buyer of the option gains the right, but not the obligation, to engage in that transaction, while the seller incurs the...
, and is probably best known for his contributions to financial theory and practice such as portfolio insurance
Portfolio insurance
Portfolio insurance is a method of hedging a portfolio of stocks against the market risk by short selling stock index futures.This hedging technique is frequently used by institutional investors when the market direction is uncertain or volatile...
and the binomial options pricing model
Binomial options pricing model
In finance, the binomial options pricing model provides a generalizable numerical method for the valuation of options. The binomial model was first proposed by Cox, Ross and Rubinstein in 1979. Essentially, the model uses a “discrete-time” model of the varying price over time of the underlying...
(also known as the Cox-Ross
Stephen Ross (economist)
Stephen Alan "Steve" Ross is the inaugural Franco Modigliani Professor of Financial Economics at the MIT Sloan School of Management. He is known for initiating several important theories and models in financial economics...
-Rubinstein model), as well as his work on discrete time stochastic calculus.
Along with fellow Berkeley finance professor Hayne E. Leland, Rubinstein developed the portfolio insurance
Portfolio insurance
Portfolio insurance is a method of hedging a portfolio of stocks against the market risk by short selling stock index futures.This hedging technique is frequently used by institutional investors when the market direction is uncertain or volatile...
financial product in 1976. This strategy later became associated with the October 19, 1987, Stock Market Crash
Black Monday (1987)
In finance, Black Monday refers to Monday October 19, 1987, when stock markets around the world crashed, shedding a huge value in a very short time. The crash began in Hong Kong and spread west to Europe, hitting the United States after other markets had already declined by a significant margin...
.
Rubinstein popularized the term "exotic option
Exotic option
In finance, an exotic option is a derivative which has features making it more complex than commonly traded products . These products are usually traded over-the-counter , or are embedded in structured notes....
" in 1990/92 working paper "Exotic Options" (with Eric Reiner), with the term based either on exotic wagers in Horse racing
Horse racing
Horse racing is an equestrian sport that has a long history. Archaeological records indicate that horse racing occurred in ancient Babylon, Syria, and Egypt. Both chariot and mounted horse racing were events in the ancient Greek Olympics by 648 BC...
, or due to the use of international terms such as "Asian option", suggesting the "exotic Orient".
Professor Rubinstein was named "Financial Engineer of the Year" by the International Association of Financial Engineers
International Association of Financial Engineers
The International Association of Financial Engineers is a non-profit professional society dedicated to fostering the field of financial engineering. The IAFE hosts several panel discussions throughout the year to discuss the issues that affect the industry from both academic and professional angles...
in 1995, and served as President of the American Finance Association
American Finance Association
The American Finance Association is an academic organization whose focus is the study and promotion of knowledge of financial economics. It was formed in 1939...
in 1993. He holds an AB
Bachelor of Arts
A Bachelor of Arts , from the Latin artium baccalaureus, is a bachelor's degree awarded for an undergraduate course or program in either the liberal arts, the sciences, or both...
in economics from Harvard University
Harvard University
Harvard University is a private Ivy League university located in Cambridge, Massachusetts, United States, established in 1636 by the Massachusetts legislature. Harvard is the oldest institution of higher learning in the United States and the first corporation chartered in the country...
, an MBA in finance from Stanford University
Stanford University
The Leland Stanford Junior University, commonly referred to as Stanford University or Stanford, is a private research university on an campus located near Palo Alto, California. It is situated in the northwestern Santa Clara Valley on the San Francisco Peninsula, approximately northwest of San...
, and a PhD
PHD
PHD may refer to:*Ph.D., a doctorate of philosophy*Ph.D. , a 1980s British group*PHD finger, a protein sequence*PHD Mountain Software, an outdoor clothing and equipment company*PhD Docbook renderer, an XML renderer...
in finance from the University of California, Los Angeles
University of California, Los Angeles
The University of California, Los Angeles is a public research university located in the Westwood neighborhood of Los Angeles, California, USA. It was founded in 1919 as the "Southern Branch" of the University of California and is the second oldest of the ten campuses...
.