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

DOI10.1111/J.1467-9965.2010.00459.XzbMATH Open1278.91172OpenAlexW1565268753MaRDI QIDQ4906545FDOQ4906545

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

Recommendations

• ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
• Term structure modeling and asymptotic long rate
• scientific article; zbMATH DE number 953313
• The asymptotic behavior of the term structure of interest rates
• Term Structure Models: A Perspective from the Long Rate

zbMATH Keywords

interest rate modelsasymptotic monotonicityDybvig-Ingersoll-Ross theoremasymptotic minimalitylong-time forward ratelong-time zero-coupon rate

Mathematics Subject Classification ID

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

Cites Work

• A theory of the term structure of interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Arbitrage Theory in Continuous Time
• Title not available (Why is that?)
• Martingale methods in financial modelling.
• Interest rate models: an introduction
• Long-Term Yield Rates for Actuarial Valuations
• A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
• Can the implied volatility surface move by parallel shifts?

Cited In (8)

• SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST
• Title not available (Why is that?)
• ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
• BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
• LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS
• Lévy-Ito models in finance
• GENERAL ANALYSIS OF LONG-TERM INTEREST RATES

This page was built for publication: Generalization of the Dybvig-Ingersoll-Ross theorem and asymptotic minimality

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4906545)