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Sad News – Mark Rubinstein Passes Away

We are very saddened to report that Mark Rubinstein, one of the preeminent financial economists of our time, died after a prolonged and difficult illness on May 9th at his home in Marin.

Mark was a past president and inaugural Fellow of the AFA. Prior to becoming emeritus, he was the Paul Stephens Professor of Applied Investment Analysis at U.C. Berkeley’s Haas School of Business.  He received his undergraduate degree from Harvard, an MBA from Stanford, and his Ph.D. from UCLA.

Mark is best known for his fundamental contributions to the theory and practice of derivatives pricing. He developed the theory of binomial option pricing in his joint work with John Cox and Steve Ross, and introduced methods for evaluating exotic derivative securities and for deriving implied binomial trees from options prices. His text, Options Markets, with John Cox, made option pricing theory accessible to a wide audience. His early work also played a key role in developing the foundations of modern asset pricing, including the role of state prices, conditions for aggregation, and the precursors to the consumption-based CAPM.

Mark, together with his U.C. Berkeley colleague Hayne E. Leland, developed the concept of portfolio insurance as a financial product in 1976. His influence on practice is evidenced by numerous awards, including Financial Engineer of the Year (International Association of Financial Engineers) and Fortune’s Businessman of the Year.

Mark was an avid student of intellectual history, and captured his many insights in the book, A History of the Theory of Investments: My Annotated Bibliography (Wiley, 2006).  He spent the last years of his life working on articles on the development of early Christianity.

Mark will be missed by the many in our field he touched with his wide-ranging intellectual contributions, his enthusiastic curiosity, and his unique and open perspective.

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Website Restructuring and Redesign

The AFA Website continues to undergo restructuring and redesign. Thank you for your feedback on the AFA website and watch for additional content over the coming months.

Bill Schwert is Selected as New AFA Fellow

The AFA announced the selection of G. William Schwert as a member of the AFA Society of Fellows at the annual meeting in Atlanta. Bill Schwert is a Distinguished University Professor of Finance and Statistics at the University of Rochester’s William E. Simon Graduate School of Business Administration. He received his A.B. with honors in economics from Trinity College in Hartford, Connecticut in 1971, his M.B.A. in 1973 and his Ph.D. in 1975 both from the University of Chicago.

Bill has been one of the Editors of the Journal of Financial Economics since 1979 and the Managing Editor of the JFE since 1996.  He has been a Research Associate of the National Bureau of Economic Research since 1988. In 1982, Bill was the first Center for Research in Security Prices Distinguished Research Scholar at the University of Chicago. His paper “Why Does Stock Market Volatility Change Over Time?” won a Smith-Breeden Distinguished Paper Prize from the Journal of Finance in 1990 and his paper “Stock Market Volatility” won the Graham and Dodd Plaque from the Financial Analysts Journal in 1990.

Bill’s research has covered broad areas of economics, finance and statistics, including:

  • the relations among interest rates, inflation rates and asset returns;
  • the effects of stock market volatility on asset returns;
  • the effects of government regulation on business;
  • the market for corporate control;
  • the behavior of the IPO market and
  • the use of modern time series techniques to analyze economic and financial data.

Ralph Koijen Selected as 2019 Fischer Black Prize Winner

The American Finance Association’s 2019 Fischer Black Prize is awarded to Professor Ralph Koijen of the University of Chicago. The prize is awarded to the person under 40 whose work best exemplifies the Fischer Black hallmark of developing original research that is relevant to finance practice. Professor Koijen’s work meets this high standard.

Ralph S.J. Koijen is a Professor of Finance at the University of Chicago Booth School of Business. He is also a Research Associate at the National Bureau of Economic Research and a Research Fellow of the Center for Economic Policy Research. He serves as an Editor of the Review of Financial Studies and an Associate Editor of the Journal of Political Economy.

Professor Koijen’s research focuses on finance, insurance, and macroeconomics. His research has been published in the American Economic Review, Econometrica, the Journal of Political Economy, the Journal of Finance, the Review of Financial Studies, and the Journal of Financial Economics. His research has been covered in popular media, such as the Financial Times, the Wall Street Journal, and The Economist.Before joining Chicago Booth in 2018, Professor Koijen was a Professor of Finance at the London Business School and NYU Stern, and an Assistant and Associate Professor of Finance at Chicago Booth. He received his undergraduate degree in Econometrics from Tilburg University and his Ph.D. in Finance from Tilburg University.