Damien Ackerer, Julien Hugonnier, Urban J. Jermann
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.
{"title":"Perpetual Futures Pricing","authors":"Damien Ackerer, Julien Hugonnier, Urban J. Jermann","doi":"10.2139/ssrn.4603820","DOIUrl":"https://doi.org/10.2139/ssrn.4603820","url":null,"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.","PeriodicalId":21927,"journal":{"name":"Social Science Research Network","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135318178","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Shaping Human Connections: Life in Society","authors":"Karolina Karosas","doi":"10.2139/ssrn.4590762","DOIUrl":"https://doi.org/10.2139/ssrn.4590762","url":null,"abstract":"","PeriodicalId":21927,"journal":{"name":"Social Science Research Network","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135318301","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Eline Moens, Elsy Verhofstadt, Luc Van Ootegem, Stijn Baert
{"title":"So, Dear Applicant, Do You Mean Working from Home or Shirking from Home?","authors":"Eline Moens, Elsy Verhofstadt, Luc Van Ootegem, Stijn Baert","doi":"10.2139/ssrn.4619697","DOIUrl":"https://doi.org/10.2139/ssrn.4619697","url":null,"abstract":"","PeriodicalId":21927,"journal":{"name":"Social Science Research Network","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135318737","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Barbies, Ties, and High Heels: Goods That People Buy But Wish Did Not Exist","authors":"Cass R. Sunstein","doi":"10.2139/ssrn.4613814","DOIUrl":"https://doi.org/10.2139/ssrn.4613814","url":null,"abstract":"","PeriodicalId":21927,"journal":{"name":"Social Science Research Network","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135318832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Racial and Ethnic Differences in Longevity Perceptions and Implications for Financial Decision Making","authors":"Abigail Hurwitz, Olivia S. Mitchell, Orly Sade","doi":"10.2139/ssrn.4617297","DOIUrl":"https://doi.org/10.2139/ssrn.4617297","url":null,"abstract":"","PeriodicalId":21927,"journal":{"name":"Social Science Research Network","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135318971","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Performance Attribution for Portfolio Constraints","authors":"Andrew W. Lo, Ruixun Zhang","doi":"10.2139/ssrn.4609106","DOIUrl":"https://doi.org/10.2139/ssrn.4609106","url":null,"abstract":"","PeriodicalId":21927,"journal":{"name":"Social Science Research Network","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135318978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Evolution of Bridge Design Technology – A Cladistic Approach","authors":"Kais Abu Al Haija","doi":"10.2139/ssrn.4589755","DOIUrl":"https://doi.org/10.2139/ssrn.4589755","url":null,"abstract":"","PeriodicalId":21927,"journal":{"name":"Social Science Research Network","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135318987","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Generative AI in the Attorney-Client Relationship: An Exercise in Critical Revision and Client Management","authors":"Michael L. Smith","doi":"10.2139/ssrn.4616179","DOIUrl":"https://doi.org/10.2139/ssrn.4616179","url":null,"abstract":"","PeriodicalId":21927,"journal":{"name":"Social Science Research Network","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135319311","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Cutting Zoning Down to Size: Reevaluating the Legal Vulnerability of Urban Minimum Lot Sizes","authors":"Charles Gardner","doi":"10.2139/ssrn.4619301","DOIUrl":"https://doi.org/10.2139/ssrn.4619301","url":null,"abstract":"","PeriodicalId":21927,"journal":{"name":"Social Science Research Network","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135319754","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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