Affiliation: | (1) J.P. Morgan Securities Inc., 270 Park Ave, Floor 6, New York, NY, 10017-2070, USA;(2) Department of Applied Mathematics, University of Waterloo, Waterloo, ON, Canada, N2L 3G1;(3) Department of Combinatorics and Optimization, University of Waterloo, Waterloo, ON, Canada, N2L 3G1;(4) David R. Cheriton School of Computer Science, University of Waterloo, Waterloo, ON, Canada, N2L 3G1;(5) Centre for Advanced Studies in Finance, University of Waterloo, Waterloo, ON, Canada, N2L 3G1 |