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

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

2001-12-20

arxiv.org/abs/math/0112230v2

Mathematical Finance 12 (4) (2002), 447--451

Mathematics

Probability

Scientific paper

A general proof of the Dybvig-Ingersoll-Ross Theorem on the monotonicity of
long forward rates is presented. Some inconsistencies in the original proof of
this theorem are discussed.

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