Between Futures and Spot Markets
An Approach to Modelling Linkages among Financial Markets
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Beschreibung
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.
Autor*in
Jędrzej Białkowski
Themen in »Between Futures and Spot Markets«
Contagion Cost-of-carry formula Cox-Ross-Ingersoll model Financial crisis Financial spillovers Forward and futures contract on a zero-coupon bond Index Arbitrage Markov-Switching models Polish Stock market Stock market linkages