A General Proof Of The Dybvig-Ingersoll-Ross Theorem: Long Forward Rates Can Never Fall
AbstractA senera1 proof of the Dybvig-Ingersoll-Ross Theorem o n thc monotonicity of long foraard rates is presented. Some inconsistencies in the original proof o f this theorein are discussed. Copyright 2002 Blackwell Publishers.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 12 (2002)
Issue (Month): 4 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
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- Clive G. Bowsher & Roland Meeks, 2008. "Stationarity and the term structure of interest rates: a characterisation of stationary and unit root yield curves," Working Papers 0811, Federal Reserve Bank of Dallas.
- Constantinos Kardaras & Eckhard Platen, 2009. "On the Dybvig-Ingersoll-Ross Theorem," Papers 0901.2080, arXiv.org, revised Mar 2010.
- Klaas Schulze, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers bgse11_2008, University of Bonn, Germany.
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