Between Futures and Spot Markets- An Approach to Modelling Linkages among Financial Markets

During the last decade stock markets have witnessed several financial crises.As a result of increasing market integration even financial distress in a minormarket is presently capable of shaking the largest world markets. Thereforeto achieve success in such complex environments finance professionals needto have a better understanding of the structure of stock market linkages.This book presents a Markov Switching approach to modelling linkagesamong financial markets. In addition to the problem of modelling intermarketdependencies the book discusses and analyses the importance of indexarbitrage on emerging stock markets. Finally the methods of valuation offorward and future contracts on zero-coupon bonds in a framework of theCox-Ingersoll-Ross model are presented.The book is addressed to finance professionals such as mutual and hedgefund managers risk managers and market regulators. It is also of value toresearchers in international finance risk management and emerging markets.