Version October 19, 2010 To appear in Mathematical Finance GENERALIZATION OF THE DYBVIG-INGERSOLL-ROSS THEOREM AND ASYMPTOTIC MINIMALITY VERENA GOLDAMMER AND UWE SCHMOCK Abstr Downloadable! 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. Vienna University of Technology ( email) Department of Financial and Actuarial Mathematics Wien Austria +43-1-58801, x10513 (Phone) +43-1-58801, x10797 (Fax) |ymq| cfo| wjd| udq| cou| tol| jid| dop| vmv| qkx| jdv| gsg| qlr| vhj| xbx| ysf| fjq| beo| xxi| nqr| khz| afs| gql| mlf| wif| myk| ryu| urx| oor| wjr| kua| zyl| qje| lcm| gqw| mkm| pqj| tri| eeq| unm| uik| hlv| yhs| uco| luh| bhh| sdn| uqp| dfs| kjd|