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A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall

Friedrich Hubalek, Irene Klein, Josef Teichmann

Published 2001-12-20, updated 2004-10-05Version 2

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.

Journal: Mathematical Finance 12 (4) (2002), 447--451
Categories: math.PR
Subjects: 91B24, 90A12
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