Exercise 9.10 Let denote the first-to-default time of (X1,X2). Prove that the conditional hazard rate of
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Exercise 9.10 Let τ denote the first-to-default time of (X1,X2). Prove that the conditional hazard rate of τ is given by (9.23).
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Stochastic Processes With Applications To Finance
ISBN: 9781439884829
2nd Edition
Authors: Masaaki Kijima
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