Kevin Foster
Professor and Associate Dean
Kevin R. Foster is the Associate Dean of the Colin Powell School for Civic and Global Leadership at The City College of New York. His research spans four primary areas: the relevance of Japanese monetary and fiscal policy to U.S. experiences during the Financial Crisis; nonparametric methods for option pricing; the predictability of asset returns, including contrarian and momentum effects; and environmental entrepreneurship.
Across these topics, Dr. Foster’s work is unified by a strong focus on applied econometrics, employing advanced analytical methods to address questions central to policy and practice. In collaboration with faculty in economics and earth sciences, he has led interdisciplinary research in environmental entrepreneurship, securing more than $750,000 in external funding.
Dr. Foster has also served as a visiting faculty member at the University of Shanghai for Science and Technology and has advised start-ups and private equity investment firms. He joined City College after earning his Ph.D. from Yale University in 1998 and holds a bachelor’s degree from Bard College.
Education
MA, Ph.D. Yale University, 1998
B.A. Bard College, 1992
Courses Taught
- Econometrics
- Principles of Macroeconomics
Several of the following articles are available on Dr. Foster’s website.
Refereed Articles
Nusret Cakici and Kevin R Foster, “Implied Binomial Trees from the Historical Distribution,” Risk, 15(8). (50%)
Nusret Cakici and Kevin R Foster, “Currency Option Smiles Constructed from Risk-Neutralized At-the-Money-Consistent Historical Distributions,” Journal of Computational Finance, 6(1). (50%)
Kevin R Foster, “Downsizing: An Examination of the Consequences of Mass Layoffs” The Journal of Private Enterprise, 17(2), Spring 2002, 109-30.
Proceedings
Abstracts Adriana Espinosa, Kevin R Foster, and Jay Jorgenson, “Implied Parameters for the Hyperbolic Distribution,” Proceedings of the 2002 Conference of the Entrepreneurial Finance Association. (33%)
Book Chapters
Invited contribution of eight entries to the Encyclopedia of Capitalism, ed. Syed B. Hussain, Golson Books, in press.
Entries: George Akerlof, American Electric Power Company, AXA, Irving Fisher, Sir Roy Harrod, Gunnar Myrdal, Okun’s Law, James Tobin.
Papers Under Review
“Value at Risk for Interest Rate-Dependent Securities: A Nonparametric Two-Dimensional Kernel Approach,” with Nusret Cakici, manuscript, The City College of New York.
“Using the Historical Distribution to Construct Implied Trees,” with Nusret Cakici, manuscript, The City College of New York.
“Nonparametric Kernel Estimators of Stochastic Volatility and Higher Moments for Stock Option Pricing,” with Nusret Cakici, manuscript, The City College of New York.
“Nonparametric Kernel Estimation and the Pricing of Interest Rate Derivatives,” with Nusret Cakici, manuscript, The City College of New York.
“Risk-Neutralized At-the-Money-Consistent Historical Distributions in Option Pricing,” with Nusret Cakici, manuscript, City College of New York.
