A recursive formula for the $n^{\text{th}}$ survival function and the $n^{\text{th}}$ first passage time distribution for jump and diffusion processes. Applications to the pricing of $n^{\text{th}}$-to-default CDS

Alessio Lapolla

We derive some rather general, but complicated, formulae to compute the survival function and the first passage time distribution of the $n^{\text{th}}$ coordinate of a many-body sto…