The Ecuador international has revealed he's been working closely with Rosenior in recent weeks.
"Every game we want to win, so we were very disappointed to get just one point," Caicedo told Chelsea's website. "But I think we are doing very well. We are learning from our mistakes.
"Liam is doing well, too. We are happy to have him here and every day we are working hard. Every day we are doing what he wants and we are doing it on the pitch in games.
"The first day he came in, I had a meeting with him. We talked about myself because he watched a lot of our games, especially me.
"So for sure he wants to help me to become an even better player, that’s why he came here as well. It’s so good to hear that because it helps you a lot to keep doing well and keep improving.
"He wants the best for you, so I’m trying really hard every day, in every game, to show why he said I’m one of the best players."