The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived. A finite difference method is used to solve this problem. The yield-spreads for both buyer and...

The likelihood ratio (LR) for testing if the covariance matrix of the observation matrix X is R has some invariance properties that can be exploited for covariance matrix estimation purposes. More precisely, it was shown in Abramovich et al. (2004, 2007, 2007) that, in the Gaussian case,...