enron default swaps darrell sending 2 technical notes enron default swaps hope useful shall read articles weekend curious find explanations satisfactory slow preparing number technical documents model reviews still hope able find time review credit models london credit trading var option pricing related models also please check invoices still think owe money vince darrell duffie 03 28 2001 08 07 38 vince j kaminski cc subject enron default swaps vince according bank america publication enron default swap spreads consistently trading 80 basis points wider asset swaps idea going thanks guidance darrell darrell duffie mail gsb stanford ca 94305 5015 usa phone 650 723 1976 fax 650 725 7979 email duffie stanford edu web http www stanford edu duffie