GENERALIZATION OF THE DYBVIG–INGERSOLL–ROSS THEOREM AND ASYMPTOTIC MINIMALITY

DOI10.1111/j.1467-9965.2010.00459.xzbMath1278.91172OpenAlexW1565268753MaRDI QIDQ4906545

Uwe Schmock, Verena Goldammer

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00459.x

zbMATH Keywords

interest rate modelsasymptotic monotonicityDybvig-Ingersoll-Ross theoremasymptotic minimalitylong-time forward ratelong-time zero-coupon rate

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (7)

LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS ⋮ SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST ⋮ ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM ⋮ BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Lévy-Ito models in finance ⋮ GENERAL ANALYSIS OF LONG-TERM INTEREST RATES

Cites Work

• Unnamed Item
• Unnamed Item
• Martingale methods in financial modelling.
• Can the implied volatility surface move by parallel shifts?
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A GENERAL PROOF OF THE DYBVIG-INGERSOLL-ROSS THEOREM: LONG FORWARD RATES CAN NEVER FALL
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Arbitrage Theory in Continuous Time
• Long-Term Yield Rates for Actuarial Valuations

This page was built for publication: GENERALIZATION OF THE DYBVIG–INGERSOLL–ROSS THEOREM AND ASYMPTOTIC MINIMALITY