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On the Dybvig-Ingersoll-Ross Theorem
- Publication Year :
- 2009
-
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.<br />Comment: 12 pages; second revised version, text rearranged and some content added.
- Subjects :
- Quantitative Finance - Pricing of Securities
Mathematics - Probability
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.0901.2080
- Document Type :
- Working Paper