On the dybvig-ingersoll-ross theorem

Kardaras, C; Platen, E

On the dybvig-ingersoll-ross theorem

Kardaras, C Platen, E

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Publication Type:: Journal Article
Citation:: Mathematical Finance, 2012, 22 (4), pp. 729 - 740
Issue Date:: 2012-10-01

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Field	Value	Language
dc.contributor.author	Kardaras, C	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2012-10-01	en_US
dc.identifier.citation	Mathematical Finance, 2012, 22 (4), pp. 729 - 740	en_US
dc.identifier.issn	0960-1627	en_US
dc.identifier.uri	http://hdl.handle.net/10453/32192
dc.identifier.uri	http://hdl.handle.net/10453/32194
dc.identifier.uri	http://hdl.handle.net/10453/32193
dc.description.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. © 2011 Wiley Periodicals, Inc.	en_US
dc.relation.ispartof	Mathematical Finance	en_US
dc.relation.isbasedon	10.1111/j.1467-9965.2011.00476.x	en_US
dc.subject.classification	Finance	en_US
dc.title	On the dybvig-ingersoll-ross theorem	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	22	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	4	en_US
pubs.publication-status	Published	en_US
pubs.volume	22	en_US

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. © 2011 Wiley Periodicals, Inc.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/32192