On the Dybvig-Ingersoll-Ross theorem

Kardaras, Constantinos ORCID: 0000-0001-6903-4506 and Platen, Eckhard (2012) On the Dybvig-Ingersoll-Ross theorem. Mathematical Finance, 22 (4). pp. 729-740. ISSN 0960-1627

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Identification Number: 10.1111/j.1467-9965.2011.00476.x

Abstract

The Dybvig-Ingersoll-Ross (DIR) theorem states that, in arbitrage-free term structure models, long-term yields and forward rates can never fall. We present a refined version of the DIR theorem, where we identify the reciprocal of the maturity date as the maximal order that long-term rates at earlier dates can dominate long-term rates at later dates. The viability assumption imposed on the market model is weaker than those appearing previously in the literature.

Item Type:	Article
Official URL:	http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Additional Information:	© 2011 Wiley Periodicals, Inc.
Divisions:	Statistics
Subjects:	Q Science > QA Mathematics
Date Deposited:	30 Nov 2017 10:39
Last Modified:	01 Oct 2024 03:39
URI:	http://eprints.lse.ac.uk/id/eprint/85889

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