Nematrian Reference Library
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Set out below is information (held by the Nematrian website) on the reference you have selected
| Reference | Title | Link |
| Kenyon, C. and Green, A. (2014) | Regulatory costs break risk neutrality | here |
Summary
"Regulations impose idiosyncratic capital and funding costs for holding derivatives. Idiosyncratic costs mean that no sinle meausre makes derivatives martingales for all market participants. Chris Kenyon and Andrew Green demonstrate that regulatory-compliant pricing cannot be risk neutral, which in tuen has implications for exit prices and mark-to-market" |
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