@inproceedings{Guo2007ANO, title={A Note on Lando ’ s Formula and Conditional Independence ∗}, author={Xin Guo and Robert Jarrow and Christian Menn}, year={2007} }

- Published 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.