Urban Jermann
Urban Jermann
Safra Professor of International Finance and Capital Markets
Finance Department
Wharton School of the University of Pennsylvania
Email: jermann@wharton.upenn.edu
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Other affiliations:
Research Associate at the National Bureau of Economic Research
Professor of Economics, Economics Department University of Pennsylvania, secondary appointment
Recent work
Recent work
Perpetuals vs dated futures
Perpetuals vs dated futures
Perpetual futures can track the underlying spot remarkably well.
Distribution of futures-to-spot ratios
Distribution of futures-to-spot ratios
Perpetual futures prices on Binance have an unusual bimodal distribution. As we show in Perpetual Futures Pricing with Stochastic Rates and Clamp (Hugonnier and Jermann) this is likely due to the clamp function used to specify funding payments.
Recent presentations
Recent presentations
slidesCBER2026.pdfslidesIssuanceSummerSNB.pdfPage updated
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