A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL

DOI10.1111/j.1467-9965.2002.tb00133.xzbMath1103.91350arXivmath/0112230OpenAlexW3121925680MaRDI QIDQ4419305

Friedrich Hubalek, Josef Teichmann, Irene Klein

Publication date: 13 August 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0112230

zbMATH Keywords

interest rate models\(L^p\)-inequalityDybvig-Ingersoll-Ross theoremlong forward rates

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

• Consols In the Cir Model

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