Mark Edward Rubinstein

Abstract

Mark Rubinstein has been described as a “brilliant scholar,” one who “marches to his own drumbeat,” and is known among colleagues as a risk taker and innovator. As an individual, Rubinstein is often characterized as intellectually fearless. He is known by many of his students as a sincere mentor who has extraordinary passion and intellect.

Having developed the binomial options model with Stephen A. Ross and John C. Cox, he revolutionized the way professionals value options. For this and earlier work on asset pricing models, he was elected President of the American Finance Association for 1993. Along with his colleagues Hayne E. Leland and John W. O'Brien, Rubinstein developed and commercialized the use of portfolio insurance, which was ultimately cited as one of the causes of the stock market crash of 1987, and his firm developed the first exchange-traded fund in 1992. The International Association of Financial Engineers (IAFE) named him as the 1995 IAFE/SunGard Financial Engineer of the Year.

Keywords: asset-pricing, Cox-Ross-Rubinstein model, CRR model, Black-Scholes-Merton, derivatives, binomial options model, 1987 stock market crash, portfolio insurance, Leland O'Brien Rubinstein, exchange-trade funds, ETF, SuperTrust