A Note on Lando ’ s Formula and Conditional Independence ∗

@inproceedings{Guo2007ANO,
  title={A Note on Lando ’ s Formula and Conditional Independence ∗},
  author={Xin Guo and Robert Jarrow and Christian Menn},
  year={2007}
}
We extend Lando’s formula for pricing credit risky derivatives to models where a firm’s characteristics and its default point process need not be conditionally independent. This result is presented under a simple filtration expansion framework with basic probability techniques.