During the last decade stock markets have witnessed several financial crises.
As a result of increasing market integration, even financial distress in a minor
market is presently capable of shaking the largest world markets. Therefore,
to achieve success in such complex environments, finance professionals need
to have a better understanding of the structure of stock market linkages.
This book presents a Markov Switching approach to modelling linkages
among financial markets. In addition to the problem of modelling intermarket
dependencies, the book discusses and analyses the importance of index
arbitrage on emerging stock markets. Finally, the methods of valuation of
forward and future contracts on zero-coupon bonds in a framework of the
Cox-Ingersoll-Ross model are presented.
The book is addressed to finance professionals, such as mutual and hedge
fund managers, risk managers and market regulators. It is also of value to
researchers in international finance, risk management and emerging markets.