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 & Education function engages, empowers and educates the public in the Second District. Our outreach mission furthers the Bank’s commitment to the region by listening to the communities we serve and developing programs, analysis and sponsored conferences and clinics to help meet their needs. Our education mission aims to advance public knowledge about the Federal Reserve System and its role in the economy.
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.