M. B. Walker

Credit default swaps with counterparty risk: a calibrated Markov model

This article describes a continuous-time Markov approach to the riskneutral pricing of a credit default swap with counterparty risk. The key parameters in the approach are the transition rates, which naturally incorporate the ideas of contagion. Correlation (which is time-dependent) is a derived quantity, which results from contagion. An expansion in powers of a small parameter (a risk-neutral default probability) allows analytic formulae to be obtained for all relevant quantities. Thus, the problem of the calibration of the model to the market prices of the bonds of the reference entity and the counterparty, as well as to the credit default swap spreads of the reference entity (which are independent of the bond spreads in the case of counterparty risk), is solved. This is done with the help of analytic results for the spread of a credit default swap with counterparty risk, as well as for other derivative prices. A comparison with results produced by the market-standard Gaussian copula approach indicates that the market-standard approach could be significantly improved by allowing the copula correlation coefficient to be time-dependent.

Josephson tunneling in high-Tc superconductors.

In this article a macroscopic invariance group describing the superconducting state of a twinned crystal is introduced and shown to provide a useful framework for the discussion of Josephson tunneling in twinned crystals. Josephson tunneling from time-reversal symmetry-breaking states is described and compared with that from time-reversal invariant states for both twinned and untwinned crystals and for both {ital c}-axis and basal-plane currents, in a model for orthorhombic Y-Ba-Cu-O. In addition, a ring geometry, which allows {ital s}-wave and {ital d}{sub {ital x}{sup 2}{minus}{ital y}{sup 2}}-wave superconductivity in a tetragonal superconductor to be distinguished on the basis of symmetry arguments only, is proposed and analyzed. Finally, an appendix gives details of the experimental Josephson tunneling evidence for a superconducting state of orthorhombic {ital ux}{sup 2}+{ital vy}{sup 2} symmetry in Y-Ba-Cu-O. {copyright} {ital 1996 The American Physical Society.}

Origin of anomalous low-temperature downturns in the thermal conductivity of cuprates

We show that the anomalous decrease in the thermal conductivity of cuprates below

Symmetry of the order parameter in superconducting ZrZn 2

300\phantom{\rule{0.3em}{0ex}}\mathrm{mK}

Electron-phonon interaction and ultrasonic attenuation in the ruthenate and cuprate superconductors

, as has been observed recently in several cuprate materials including

DISCRETE-LATTICE MODEL FOR SURFACE BOUND STATES AND TUNNELING IN D-WAVE SUPERCONDUCTORS

{\mathrm{Pr}}_{2\ensuremath{-}x}{\mathrm{Ce}}_{x}\mathrm{Cu}{\mathrm{O}}_{7\ensuremath{-}\ensuremath{\delta}}

Order parameter symmetry in ferromagnetic superconductors

in the field-induced normal state, is due to the thermal decoupling of phonons and electrons in the sample. Upon lowering the temperature, the phonon-electron heat transfer rate decreases and, as a result, a heat current bottleneck develops between the phonons, which can in some cases be primarily responsible for heating the sample, and the electrons. The contribution that the electrons make to the total low-

Quasiparticle-quasiparticle scattering in high- T c superconductors

T

Risk-neutral correlations in the pricing and hedging of basket credit derivatives

heat current is thus limited by the phonon-electron heat transfer rate, and falls rapidly with decreasing temperature, resulting in the apparent low-

Fermi-liquid theory for anisotropic superconductors

T