Great Moments in Financial Economics: The Hidden History
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Date: 11-01-2004
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Mark Rubinstein, The Haas School, University of California, Berkeley
Location: 412 Shapiro CEPSR, Davis Auditorium
ABSTRACT
1. Present Value
2. Modigliani-Miller Theorem
3. Random Walks and Efficient
Markets
4. State Prices and the Fundamental
Theorem
5. Black-Scholes Option
Pricing
6. ARCH Models
BIO
Mark Rubinstein is the Paul Stephens Professor of Applied Investment Analysis 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.
PRESENTATION