Rembrandt, Matisse and Caravaggio swap St Petersburg for Madrid in a new exhibition, the Hermitage in the Prado – an exchange between two of the greatest art galleries in Europe.

November sees Rembrandt, Matisse and Caravaggio cannily swapping freezing St Petersburg for balmy Madrid for The Hermitage in the Prado – an exchange between two of the greatest art galleries in Europe.

Housed in a new extension of the Museo del Prado, the exhibition features some of Russia’s greatest artworks, such as Malevich’s nihilistic 1915 piece Black Square – a black splodge said to symbolise the impending doom of the century ahead. Lighten the mood afterwards with a leisurely stroll through Buen Retiro park, right on the doorstep of the Prado.

The Hermitage in the Prado in the Prado runs from 8 November to 25 March 2012. The exhibition is a homecoming for works by Spanish artists Picasso, Ribera and Velázquez (admission £8).

British Airways flies from London Heathrow to Madrid (from £180), while easyJet flies from Gatwick (from £175).

Stay at the Petit Palace Art Gallery, a hotel in a 19th-century Salamanca building where guestrooms come packed with paintings and sculptures (£95).

This article was published in partnership with Lonely Planet Magazine.