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In this work we derive an approximated no-arbitrage market valuation formulafor Constant Maturity Credit Default Swaps (CMCDS). We move from the CDSoptions market model in Brigo (2004), and derive a formula for CMCDS that isthe analogous of the formula for constant maturity swaps in the default freeswap market under the LIBOR market model. A "convexity adjustment"-likecorrection is present in the related formula. Without such correction, or withzero correlations, the formula returns an obvious deterministic-credit-spreadexpression for the CMCDS price. To obtain the result we derive a joint dynamicsof forward CDS rates under a single pricing measure, as in Brigo (2004).Numerical examples of the "convexity adjustment" impact complete the paper.

Constant Maturity Credit Default Swap Pricing with Market Models