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)

Publisher: Blackwell Publishing

Key:
Free Content - Free Content
New Content - New Content
Subscribed Content - Subscribed Content
Free Trial Content - Free Trial Content

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: 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

The full text electronic article is available for purchase. You will be able to download the full text electronic article after payment.

$41.89 plus tax      Refund Policy

 

OR

Back to top

Key:
Free Content - Free Content
New Content - New Content
Subscribed Content - Subscribed Content
Free Trial Content - Free Trial Content
Share this item with others: These icons link to social bookmarking sites where readers can share and discover new web pages.
Page Help Click here for Page Help
Shopping cart
Tools
Sign in






Need to register?
Sign up here
Text size: A | A | A | A