A general proof of the Dybvig-Ingersoll-Ross theorem: long forward rates can never fall

Authors: Hubalek, Friedrich¹; Klein, Irene²; Teichmann, Josef¹

Source: Mathematical Finance, Volume 12, Number 4, 1 October 2002 , pp. 447-451(5)

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Abstract:

A general proof of the Dybvig-Ingersoll-Ross Theorem on the monotonicity of long forward rates is presented. Some inconsistencies in the original proof of this theorem are discussed.

Keywords: interest rate models; long forward rates; Lp-inequality

Document Type: Short communication

DOI: http://dx.doi.org/10.1111/1467-9965.12409

Affiliations: 1: Department of Financial and Actuarial Mathematics, Vienna University of Technology 2: Department of Statistics and Decision Support Systems, University of Vienna

Publication date: 2002-10-01