A general proof of the Dybvig-Ingersoll-Ross Theorem: Long forward rates can never fall

Mathematical Finance

Volumn 12, Issue 4, 2002, Pages 447-451

  Hubalek, Friedrich ^a   Klein, Irene ^b   Teichmayn, Josef ^a  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

^b UNIVERSITY OF VIENNA   (Austria)

Author keywords

Interest rate models; Long forward rates

Indexed keywords

EID: 0036788468     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2002.tb00133.x     Document Type: Article

References (4)

1. Delbaen, F. (1993): Consols in the CIR Model. Math. Finance 3, 125-134.
2. Dybvig, P., J. Ingersoll, and S. Ross (1996): Long Forward and Zero-Coupon Rates Can Never Fall. J. Business 60, 1-25.
3. Ingersoll, J., J. Skelton, and R.L. Weil (1978): Duration Forty Years Later. J. Financial Quant. Anal. 13, 627-650.
4. McCulloch, J. H. (2000): Long Forward and Zero Coupon Rates Indeed Can Never Fall, But Are Indeterminate: A Comment on Dybvig, Ingersoll and Ross. Working paper, Ohio State University.