摘要翻译：
在本文中，我们推导了一个近似的无套利市场估值公式的恒定期限信用违约互换(CMCDS)。本文从Brigo(2004)的CDS期权市场模型出发，推导出一个CMCDS的公式，该公式类似于LIBOR市场模型下违约自由掉期市场中恒定期限掉期的公式。在相关公式中存在类似于“凸度调整”的校正。如果没有这种修正，或者没有相关性，公式将返回CMCDS价格的一个明显的确定性信用价差表达式。为了得到这一结果，我们导出了在单一定价度量下远期CDS利率的联合动力学，如Brigo(2004)所示。通过数值算例说明了“凸度调整”的影响。
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英文标题：
《Constant Maturity Credit Default Swap Pricing with Market Models》
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作者：
Damiano Brigo
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最新提交年份：
2008
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options market model in Brigo (2004), and derive a formula for CMCDS that is the analogous of the formula for constant maturity swaps in the default free swap market under the LIBOR market model. A "convexity adjustment"-like correction is present in the related formula. Without such correction, or with zero correlations, the formula returns an obvious deterministic-credit-spread expression for the CMCDS price. To obtain the result we derive a joint dynamics of forward CDS rates under a single pricing measure, as in Brigo (2004). Numerical examples of the "convexity adjustment" impact complete the paper.
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PDF链接：
https://arxiv.org/pdf/0812.4159