Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality

DOI10.1111/J.1467-9965.2010.00459.XMaRDI QIDQ4906545zbMATH OpenOpenAlexFDO

Authors Verena Goldammer, Uwe Schmock

Publication date 28 February 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00459.x

zbMATH Keywords

asymptotic minimalityasymptotic monotonicityDybvig-Ingersoll-Ross theoreminterest rate modelslong-time forward ratelong-time zero-coupon rate

Mathematics Subject Classification ID

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

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Cites work

• A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Arbitrage Theory in Continuous Time
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Can the implied volatility surface move by parallel shifts?
• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• Interest rate models: an introduction
• Long-Term Yield Rates for Actuarial Valuations
• Martingale methods in financial modelling.
• Pricing interest-rate-derivative securities

Cited in

(10)

• Term structure modeling and asymptotic long rate
• Lévy-Ito models in finance
• Lévy-Vasicek models and the long-bond return process
• The asymptotic behavior of the term structure of interest rates
• Social discounting and the long rate of interest
• ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
• General analysis of long-term interest rates
• BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
• scientific article; zbMATH DE number 7732111 (Why is no real title available?)
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\)

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