Preheat oven to 300 degrees F. (I found 325 degrees F. worked better for my oven)
Combine spices from ginger paste through cayenne pepper in a small bowl. Place chicken pieces in an oven proof baking dish, and cover with spices. Set aside for 30 minutes.
Grind cashews into a smooth paste with 3 tablespoons yogurt in a food processor. Add remaining yogurt and pulse until smooth.
Stir in bay leaves, gram masala, and black peppercorns. Cover chicken pieces with yogurt-cashew mixture. Scatter the red and green chilies on top.
Cover the casserole highly with foil and bake for 1 hour, or until chicken is cooked through.
Remove from the oven, sprinkle with chopped onions and saffron threads