Between Futures and Spot Markets
An Approach to Modelling Linkages among Financial Markets
(Sprache: Englisch)
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. Therefore,to achieve success in...
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Produktinformationen zu „Between Futures and Spot Markets “
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.
Klappentext zu „Between Futures and Spot Markets “
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.
Autoren-Porträt von Jedrzej Bialkowski
Dr Jędrzej Białkowskiis a senior lecturer of finance at AucklandUniversity of Technology Business School. Heobtained a Masters degree in MathematicalFinance at University of Warsaw and a PhD inFinancial Economics at European UniversityViadrina. His research focuses on internationalfinance, risk management and emerging stockmarkets. He is the author of morethan fifteen articles on these topics.
Bibliographische Angaben
- Autor: Jedrzej Bialkowski
- 2007, 88 Seiten, Maße: 17 x 24 cm, Kartoniert (TB), Englisch
- Verlag: VDM Verlag Dr. Müller
- ISBN-10: 3836429489
- ISBN-13: 9783836429481
Sprache:
Englisch
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