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

Jedrzej Bialkowski

ISBN 10: 3836429489 / ISBN 13: 9783836429481

Published by VDM Verlag Dr. Müller Nov 2007, 2007

About this Item

Neuware - 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.

Seller Inventory # 9783836429481

Bibliographic Details

• Title: Between Futures and Spot Markets : An Approach to Modelling Linkages among Financial Markets
• Publisher: VDM Verlag Dr. Müller Nov 2007
• Publication Date: 2007
• Language: English
• ISBN 10: 3836429489
• ISBN 13: 9783836429481
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 24W x 0H x 0D centimeters 24 centimeters width by 0 centimeters height by 0 centimeters depth
• Weight: 165 grams

About this title

Synopsis

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.

About the Author

Dr. Jędrzej Białkowski is a senior lecturer of finance at Auckland University of Technology Business School. He obtained a Masters degree in Mathematical Finance at University of Warsaw and a PhD in Financial Economics at European University Viadrina. His research focuses on international finance, risk management and emerging stock markets.