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| A Note on Lando's Formula and Conditional Independence by Xin Guo of the University of California, Berkeley, 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?)
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