in this paper, we show that the conditional transform with respect to the gaussian process involving the first variation can be expressed in terms of the conditional transform without the first variation. we then use this result to obtain various integration formulas involving the conditional $diamond$-product and the first variation.

The problem of testing a linear temporal logic (LTL) formula on a finite execution trace of events, generated by an executing program, occurs naturally in runtime analysis of software. An algorithm which takes a past time LTL formula and generates an efficient dynamic prog-ramming algorithm is presented. The generated algorithm tests whether the formula is satisfied by a finite trace of events ...

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...