A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL |
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| Authors: | Friedrich Hubalek Irene Klein Josef Teichmayn |
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| Institution: | Department of Financial and Actuarial Mathematics, Vienna University of Technology;Department of Statistics mid Decision Siipport Systems, University of Vienna;Department of Financial and Actuarial Mathematics, Vienna University of Technology |
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| 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. |
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| Keywords: | interest rate models long forward rate Lp-incquality |
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