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A General Proof Of The Dybvig-Ingersoll-Ross Theorem: Long Forward Rates Can Never Fall


  • Friedrich Hubalek
  • Irene Klein
  • Josef Teichmayn


A 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.

Suggested Citation

  • Friedrich Hubalek & Irene Klein & Josef Teichmayn, 2002. "A General Proof Of The Dybvig-Ingersoll-Ross Theorem: Long Forward Rates Can Never Fall," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 447-451.
  • Handle: RePEc:bla:mathfi:v:12:y:2002:i:4:p:447-451

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    Cited by:

    1. Bekker, Paul A., 2017. "Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve," Research Report 17009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    2. Dare, Wale, 2017. "Statistical arbitrage in the U.S. treasury futures market," Economics Working Paper Series 1716, University of St. Gallen, School of Economics and Political Science.
    3. Constantinos Kardaras & Eckhard Platen, 2009. "On the Dybvig-Ingersoll-Ross Theorem," Papers 0901.2080,, revised Mar 2010.
    4. Sebastián A. Rey, 2016. "Theory of long-term interest rates," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-18, September.
    5. 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.
    6. repec:wsi:ijtafx:v:17:y:2014:i:03:n:s0219024914500162 is not listed on IDEAS
    7. Dorje C. Brody & Lane P. Hughston, 2013. "Social Discounting and the Long Rate of Interest," Papers 1306.5145,, revised Sep 2015.

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