This paper develops a default-risky bond pricing model, which assumes that the default intensity is driven by a Markov chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three different types of risk, was obtained. Introducing...

This paper studies in some examples the role of information in a default-risk framework. In a first-passage model, we assume that investors obtain two types of information about the firm’s unlevered asset value at a discrete sequence of dates. The effects of information on the distributional...

This paper studies in some examples the role of information in a default-risk framework. We examine three types of information for a firm's unlevered asset value to the secondary bond market: the classical case of continuous and perfect information, observation of past and contemporaneous asset...

This paper extends the class of deterministic volatility Heath-Jarrow-Morton (1992) models to a Markov chain stochastic volatility framework allowing for jump discontinuities and a variety of deformations of the term structure of forward rate volatilities. Analytical solutions for the dynamics...