| Affiliation: | (1) Global Derivatives and Fixed Income Markets, Westdeutsche Landesbank Girozentrale, 33/36 Gracechurch Street, London EC3V 0AX, United Kingdom (e-mail: phil_hunt@westlb.co.uk) , GB;(2) Department of Statistics, University of Warwick, Coventry CV4 7AL, United Kingdom (e-mail: j.e.kennedy@warwick.ac.uk) , GB;(3) Structured Products Group (AA4410), ABN-Amro Bank, P.O. Box 283, 1000 EA Amsterdam, The Netherlands (e-mail: pelsser@few.eur.nl) and Department of Finance, Erasmus University Rotterdam, P.O. Box 1738, 3000 DR Rotterdam, The Netherlands , NL |
