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

By Friedrich Hubalek, I. Klein, Josef Teichmayn. 2001

65 citations recorded by the source corpus.

A senera1 proof of the Dybvig‐Ingersoll‐Ross Theorem o n thc monotonicity of long foraard rates is presented. Some inconsistencies in the original proof o f this theorein are discussed.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/61e4e103e835fe199e65a430d3663c657c8cae99

How researchers see this paper

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In Economics and Econometrics

1. Damir Filipovi'c
2. Josef Teichmann
3. Andrew J. G. Cairns
4. Jan Kallsen
5. Martino Grasselli
6. Claudio Tebaldi
7. H. Booth
8. Ales Cerný

In Finance

1. Josef Teichmann
2. Damir Filipovi'c
3. Andrew J. G. Cairns
4. Elena Vigna
5. Jan Kallsen
6. David P. Blake
7. Kevin Dowd
8. Martino Grasselli

Citations in the corpus

• A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING (2004, background): “For a more rigorous proof of this result, see Hubalek, Klein, and Teichmann 2002.)”
• On the geometry of the term structure of interest rates (2004, result): “As a simple remark we can state that the long rates r t := limx→∞ rt(x) are deterministic in the case of a finite dimensional realization, which is due to the fact that limx→∞ λi(x) = 0, compare with [20].”