Abstract : The dynamics of the financial markets are modeled using random processes to capture their inherent uncertainty. A particular theoretical model often enables one to derive various market driven factors theoretically. Since the Nobel winning work by Black, Scholes and Merton, numerous different improvements of their theoretical model are being studied by various authors. Regime switching model is one of such. In this talk, I would highlight the recent advancements in the portfolio and pricing theory for the regime switching market models. The talk would also include the applicability issues of these models. I would try to give a brief overview of my contributions in the above directions carried out in last couple of years.