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A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall

Friedrich Hubalek, Irene Klein, Josef Teichmann

math.PRarXiv:math/0112230

Abstract

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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