ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
From MaRDI portal
Publication:4919618
DOI10.1111/j.1467-9965.2011.00476.xzbMath1285.91136arXiv0901.2080MaRDI 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
91G30: Interest rates, asset pricing, etc. (stochastic models)
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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
