A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
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. Copyright 2002 Blackwell Publishers.
Year of publication: |
2002
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Authors: | Hubalek, Friedrich ; Klein, Irene ; Teichmayn, Josef |
Published in: |
Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 12.2002, 4, p. 447-451
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Publisher: |
Wiley Blackwell |
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