Mark Rubinstein
Mark Rubinstein is a Professor of Finance at the Haas School of Business at the University of California at Berkeley. He is a graduate of Harvard University, Stanford University and the University of California at Los Angeles. Professor Rubinstein is renowned for his work on the binomial options pricing model (also known as the Cox-Ross-Rubinstein model) as well as his early work on asset pricing in the 1970s. His publications include the books Options Markets and Rubinstein on Derivatives, as well as more than 50 publications in leading finance and economic journals. He is currently an associate editor of eight journals in these areas. In 1993, he served as President of the American Finance Association. Many of Rubinstein's papers are frequently reprinted in survey publications, and he has won numerous prizes and awards for his research and writing on derivatives including International Financial Engineer of the Year for 1995. Most recently, he won the Graham and Dodd award for 2002 for the best article published during the year 2001 (this was on the rationality or efficiency of financial markets) in the Financial Analysts Journal. Of all his awards, he is most proud of winning the in 2003 the Best Teacher Award in the new Masters of Financial Engineering Program at Berkeley. His current research concerns the history of the financial theory of investments which is now published in his new book "A History of the Theory of Investments" (Wiley 2006).
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For recent articles and working papers, click:
Accounting for Employee Stock Options (unpublished 2004)
Great Moments in Financial Economics Series in Journal of Investment Management:
I. Present Value (First
Quarter/2003)
II.
Modigliani-Miller Theorem (Second Quarter/2003)
III. Short-Sales and Stock Prices (First Quarter/2004)
IV Fundamental Theorem
- Part I (Fourth Quarter 2005)
IV Fundamental Theorem
- Part II (First Quarter 2006)
For articles about portfolio insurance, click:
The Real-World Pitfalls of Portfolio Insurance (9/99 Derivatives Strategy Magazine)
Comments on the 1987 Stock Market Crash: 11 Years Later (10/98 forthcoming)
Justification of SuperTrust (8/89 unpublished)
Comments on the Market Crash: Six Months After (8/88 Journal of Economic Perspectives)
Portfolio Insurance and the Market Crash (1/88 Financial Analysts Journal)
Evolution of Portfolio Insurance (1988 Dynamic Hedging)
No 'Best' Strategy for Portfolio Insurance (11/87 Financial Analysts Journal)
Alternative Paths to Portfolio Insurance (7/85 Financial Analysts Journal)
For articles about exotic options, click:
Packages (12/91 unpublished)
Compound Options (12/91 Risk Magazine)
Rainbow Options (11/91 and 11/94 Risk Magazine)
Binary Options (10/91 Risk Magazine)
Barrier Options (9/91 Risk Magazine)
Exchange Options (7/91 Risk Magazine)
Chooser Options (4/91 Risk Magazine)
Forward-Start Options (2/91 Risk Magazine)
For other articles about options, click:
Recovering
Stochastic Processes from Option Prices
(5/2001 Working Paper)
Derivatives
Performance Attribution (3/2001
Journal of Financial and Quantitative Analysis)
On
the Relation between Binomial and Trinomial Option Pricing Models
(Winter/2000 Journal of Derivatives)
Edgeworth
Binomial Trees (5/98 Journal
of Derivatives)
Recovering
Probability Distributions from Option Prices
(12/96 Journal of Finance)
On
the Accounting Valuation of Employee Stock Options
(11/95 Journal of Derivatives)
Guiding
Force (11/92 Risk Magazine
publication)
As
Simple as 1-2-3 (7/85 Risk
Magazine)
Implied
Binomial Trees (7/94 Presidential Address to the American Finance Association)
Supershares
(1994 Handbook of Equity Derivatives)
SuperTrust (12/90 unpublished)
A
Case of Confused Identity (7/88
Financial Analysts Journal)
Berkeley
Options Database (1987 Advances
in Futures and Options Research)
Replicating
Options with Positions in Stock and Cash
(7/81 Financial Analysts Journal)
Derivative
Assets Analysis (Fall/87 Journal
of Economic Perspectives)
Nonparametric
Tests of Alternative Option Pricing Models
(6/85 Journal of Finance)
A
Simple Formula for the Expected Rate of Return of an Option over a Finite
Holding Period (12/84 Journal of Finance)
Option
Pricing- A Simplified Approach
(9/79 Journal of Financial Economics)
For articles about asset pricing, click:
Competition
and Approximation (Spring/78 Bell
Journal of Economics)
The Valuation of Uncertain
Income Streams and the Pricing of Options
(Autumn/76 Bell Journal of Economics)
An Aggregation Theorem for Securities Markets
(10/74 Journal of Financial Economics)
A Comparative Statics Analysis of Risk Premiums
(10/73 Journal of Business)
Jan Mossin's Theory of Financial Markets
(Autumn/73 Bell Journal)
The Fundamental Theorem of Parameter-Preference Securities
Valuation (1/73 JFQA)
For articles about portfolio selection, click:
Markowitz’s
“Portfolio Selection”: A Fifty-Year Retrospective (6/2002
Journal of Finance)
Continuously Rebalanced Investment Strategies
(Fall/91 Journal of Portfolio Management)
Asset Allocation Conference Summary (9/81 unpublished)
For articles about market efficiency, click:
Rational Markets: Yes or No? The Affirmative Case (5/2001 Financial Analysts Journal)
The Valuation of Information in Impersonal and Personal Markets (1987 Blackwell)
Efficiency of the Market for Racetrack Betting (12/81 Management Science)
Securities Market Efficiency in an Arrow-Debreu Economy (12/75 American Economic Review)
Speculation and Information in Securities Markets (1975 Management Science Proceedings)
For articles about other subjects, click:
Ballot or Test? Election 2000 in Palm Beach County (11/2000 unpublished)
The World According to Mark Rubinstein (7/99 Derivatives Strategy Magazine)
Self-Publishing in Finance (5/99 unpublished)
Merton Miller's Financial Innovations and Market Volatility (6/92 Journal of Finance)
Market Basket Alternatives (9/89 Financial Analysts Journal)
APL - A Language for Modern Times (4/84 PC Magazine)
A Mean-Variance Synthesis of Corporate Financial Theory (3/73 Journal of Finance)
Freud's "Project for a Scientific Psychology" (11/65 unpublished)
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