A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall
Probability
2007-05-23 v2
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.
Cite
@article{arxiv.math/0112230,
title = {A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall},
author = {Friedrich Hubalek and Irene Klein and Josef Teichmann},
journal= {arXiv preprint arXiv:math/0112230},
year = {2007}
}