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Technical paper

Modelling inflation

Lars Kjaergaard models inflation using a three-factor Gaussian method. This gives a simple description of derivatives linked to inflation and interest rates, and allows for fast evaluation. He then shows how the model can be calibrated

Gamma process dynamic modelling of credit

The 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…

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