Martin Baxter
Gamma process dynamic modelling of credit
Submitted by loner on 1 January, 2008 - 1:37pmThe existing generation of credit derivatives models is unsatisfactory because they generally contain arbitrage, cannot describe the dynamics of the process, and are hard to extend beyond vanilla products. Martin Baxter has created a new tractable family of credit models, based on the gamma process, which allows arbitrage-free pricing of correlated credits in a dynamic model framework that can straightforwardly handle bespoke baskets and exotic products
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