arXiv:math/0112230 [math.PR]AbstractReferencesReviewsResources
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
Keywords: long forward rates, general proof, dybvig-ingersoll-ross-theorem, dybvig-ingersoll-ross theorem
Tags: journal article
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