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 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 of the...

In some examples, we study the role of information in a default-risky framework. The analysis is based on the assumption that the investors in defaultable bonds obtain information about the firm's unlevered asset value at discrete dates. The discrete information arrivals induce...