Urban Jermann

Urban Jermann, A Macro Finance Model for Proof-of-Stake Ethereum.

Damien Ackerer, Julien Hugonnier, Urban Jermann (2025), Perpetual Futures Pricing, Mathematical Finance.

Abstract: Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no-arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and continuous-time. In particular, we show that the futures price is given by the risk-neutral expectation of the spot sampled at a random time that reflects the intensity of the price anchoring. Furthermore, we identify funding specifications that guarantee the coincidence of futures and spot prices, and show that for such specifications perpetual futures, contracts can be replicated by dynamic trading in primitive securities.

Urban Jermann (2025), Gold’s Value as an Investment, Review of Financial Studies.

Abstract: This paper presents an approach for pricing gold from investors’ perspective. The model is based on no-arbitrage principles with minimal structural assumptions. There is no need to specify investor preferences. When fitted to match 10-year real U.S. Treasury rates, the model can replicate the salient fluctuations in the time series of gold prices since 2007. The model is also able to capture key patterns of CME Comex gold futures prices. The model implies that the majority of the value of gold is due to its role as an investment asset.

Joao F. Gomes, Urban Jermann, Lukas Schmid (2016), Sticky Leverage, American Economic Review, 2016.

Abstract: We develop a tractable general equilibrium model that captures the interplay between nominal long-term corporate debt, inflation, and real aggregates. We show that unanticipated inflation changes the real burden of debt and, more significantly, leads to a debt overhang that distorts future investment and production decisions. For these effects to be both large and very persistent it is essential that debt maturity exceeds one period. We also show that interest rate rules can help stabilize our economy.

Urban Jermann and Vincenzo Quadrini (2012), Macroeconomic Effects of Financial Shocks, American Economic Review.

Fernando Alvarez and Urban Jermann (2005), Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth, Econometrica, November 2005, 1977-2016.

Fernando Alvarez and Urban Jermann (2004), Using Asset Prices to Measure the Cost of Business Cycles, Journal of Political Economy, December 2004, 1223-56.