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A General Proof Of The Dybvig‐Ingersoll‐Ross Theorem: Long Forward Rates Can Never Fall

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  • Friedrich Hubalek
  • Irene Klein
  • Josef Teichmayn

Abstract

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.

Suggested Citation

  • Friedrich Hubalek & Irene Klein & Josef Teichmayn, 2002. "A General Proof Of The Dybvig‐Ingersoll‐Ross Theorem: Long Forward Rates Can Never Fall," Mathematical Finance, Wiley Blackwell, vol. 12(4), pages 447-451, October.
    • Handle: RePEc:bla:mathfi:v:12:y:2002:i:4:p:447-451
    DOI: 10.1111/j.1467-9965.2002.tb00133.x
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    Cited by:

    1. Dare, Wale, 2017. "Statistical arbitrage in the U.S. treasury futures market," Economics Working Paper Series 1716, University of St. Gallen, School of Economics and Political Science.
    2. Schulze, Klaas, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers 11/2008, University of Bonn, Bonn Graduate School of Economics (BGSE).
    3. Jan de Kort, 2018. "A note on the long rate in factor models of the term structure," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 656-667, April.
    4. Constantinos Kardaras & Eckhard Platen, 2009. "On the Dybvig-Ingersoll-Ross Theorem," Papers 0901.2080, arXiv.org, revised Mar 2010.
    5. Sebastián A. Rey, 2016. "Theory of long-term interest rates," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-18, September.
    6. L. Rogers & M. Tehranchi, 2010. "Can the implied volatility surface move by parallel shifts?," Finance and Stochastics, Springer, vol. 14(2), pages 235-248, April.
    7. Bekker, Paul A., 2017. "Interpretable Parsimonious Arbitrage-free Modeling of the Yield Curve," Research Report 17009-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    8. Dorje C. Brody & Lane P. Hughston & David M. Meier, 2016. "L\'evy-Vasicek Models and the Long-Bond Return Process," Papers 1608.06376, arXiv.org, revised Sep 2016.
    9. Clive G. Bowsher & Roland Meeks, 2008. "Stationarity and the term structure of interest rates: a characterisation of stationary and unit root yield curves," Working Papers 0811, Federal Reserve Bank of Dallas.
    10. Francesca Biagini & Maximilian Härtel, 2014. "Behavior Of Long-Term Yields In A Lévy Term Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 1-24.
    11. Dorje C. Brody & Lane P. Hughston, 2018. "Social Discounting And The Long Rate Of Interest," Mathematical Finance, Wiley Blackwell, vol. 28(1), pages 306-334, January.
    12. Dorje C. Brody & Lane P. Hughston & David M. Meier, 2018. "Lévy–Vasicek Models And The Long-Bond Return Process," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-26, May.
    13. Dorje C. Brody & Lane P. Hughston, 2013. "Social Discounting and the Long Rate of Interest," Papers 1306.5145, arXiv.org, revised Sep 2015.
    14. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.

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