A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall
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🧮 math.PR
keywords
proofforwardgenerallongratestheoremdiscusseddybvig-ingersoll-ross
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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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