The Federal Reserve Bank of New York works to promote sound and well-functioning financial systems and markets through its provision of industry and payment services, advancement of infrastructure reform in key markets and training and educational support to international institutions.
The Outreach and Education function engages, empowers and educates the Second District communities that the Bank serves, especially civic leaders, students, educators, small business owners, policymakers and the general public. It furthers the Bank's commitment to the region by listening to the communities we serve and leveraging our unique attributes to positively impact school and university programs, as well as analysis and research.
Empirical pricing kernels With Robert F. Engle Journal of Financial Economics,Vol. 64, no. 3, 2002, pp. 341-372 See also ›› Working paper version 60 pages / 488 kb
Testing the volatility term structure using option hedging criteria With Robert Engle Journal of Derivatives,Vol. 8, No. 1, 2000, pp. 10-28
Implied volatility functions: a reprise Journal of Derivatives,Vol. 7, No. 3, 2000, pp. 51-64
Innovations in derivatives education (book review) Journal of Derivatives,Vol. 6, No. 4, 1999, pp. 94-97
Pricing multivariate contingent claims using estimated risk-neutral density functions Journal of International Money and Finance,Vol. 17, No. 2, 1998, pp. 229 - 247
GARCH gamma With Robert Engle Journal of Derivatives,Vol. 2, No. 4, 1995, pp. 47-59 See also ›› Reprinted in Volatility: New Estimation Techniques for Pricing Derivatives, ed. Robert Jarrow, Risk Books, 1998, pp. 391-400
Risk modelling and small company stocks Small Cap Stocks: Investment and Portfolio Strategies for the Institutional Investor,Robert Klein and Jess Lederman eds., Probus Publishing Co., 1993, pp. 281-294
Joshua Rosenberg's CVThe views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.