the web's biggest credit risk modeling resource.

Credit Jobs

Home Glossary Links FAQ / About Site Guide Search


Submit Your Paper

In Rememberance: World Trade Center (WTC)

doi> search: A or B

Export citation to:
- Text (plain)
- BibTeX

A Note on Lando's Formula and Conditional Independence

by Xin Guo of the University of California, Berkeley,
Robert A. Jarrow of Cornell University, and
Christian Menn of Cornell University

May 29, 2007

Abstract: 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.

Books Referenced in this paper:  (what is this?)

Download paper (200K PDF) 10 pages