BFS 2002 

Contributed Talk 
Irene Klein, Friedrich Hubalek, Josef Teichmann
It is an interesting question to analyse the stochastic nature of long term rates in interest rate markets. In DybvigIngersollRoss 1996 the authors show that long forward and zero coupon rates can never fall. In their proof they implicitly use an ``ergodicity'' assumption, which is economically reasonable, but does not hold in any arbitragefree interest rate model. We prove without any additional assumption that long forward rates can never fall, if they exist.