ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM

DOI10.1111/j.1467-9965.2011.00476.xzbMath1285.91136arXiv0901.2080OpenAlexW2096829738MaRDI QIDQ4919618

Eckhard Platen, Constantinos Kardaras

Publication date: 14 May 2013

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

Full work available at URL: https://arxiv.org/abs/0901.2080

zbMATH Keywords

forward ratesDybvig-Ingersoll-Ross theoremlong maturities

Mathematics Subject Classification ID

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

Related Items (6)

LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS ⋮ SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST ⋮ BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Lévy-Ito models in finance ⋮ GENERAL ANALYSIS OF LONG-TERM INTEREST RATES

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• A general version of the fundamental theorem of asset pricing
• Term structure modeling and asymptotic long rate
• A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
• GENERALIZED SUPERMARTINGALE DEFLATORS UNDER LIMITED INFORMATION
• GENERALIZATION OF THE DYBVIG–INGERSOLL–ROSS THEOREM AND ASYMPTOTIC MINIMALITY
• Real-world jump-diffusion term structure models
• An equilibrium characterization of the term structure
• Implied savings accounts are unique

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