Abstract: A computer-implemented method is presented to generate an index by determining price information associated with at least one of an equity and an equity-option of a first company, using the price information to estimate a volatility of an equity price of the first company, calculating a default probability based on the estimated volatility and calculating an index level using the calculated default probability.

Abstract: A data processing apparatus and method are provided for calculating an implied correlation and/or dispersion of an index that has a plurality of constituents. Data is received which describes properties of the index and properties of at least some of its constituents. An implied variance of the index and an implied variance of each of the at least some constituents are determined based on the received data. The implied correlation and/or dispersion of the index are calculated using the determined implied variances. A variance calculation scheme may be used which does not require the calculation of a volatility. Further, a model-free algorithm may be used to determine the implied valiances. Furthermore, an implied volatility of the index and an implied volatility for constituents may be determined from the implied variances.

Abstract: A data processing apparatus and method are provided for calculating an implied correlation and/or dispersion of an index that has a plurality of constituents. Data is received which describes properties of the index and properties of at least some of its constituents. An implied variance of the index and an implied variance of each of the at least some constituents are determined based on the received data. The implied correlation and/or dispersion of the index are calculated using the determined implied variances. A variance calculation scheme may be used which does not require the calculation of a volatility. Further, a model-free algorithm may be used to determine the implied valiances. Furthermore, an implied volatility of the index and an implied volatility for constituents may be determined from the implied variances.

Abstract: The present invention relates to a system and method for performing a block auction. In a block auction, a block request is enabled to be executed against the plurality of quotes of different bidders, which comprise at least a part of the request volume. In accordance with the present invention, neither specification of the trade side of the request nor publication of the individual quotes submitted by bidders are required for performing the auction at an electronic trading system. Therefore, the auction can be performed anonymously and the trading of block requests comprising large volumes is enabled.

Abstract: Fibers, preferably electret fibers, made of materials which contain predominantly fiber-forming polymer or polycondensate, with a preparation applied onto the fibers, where the applied preparation contains at least one active substance which has volatilized after a time period of 20 minutes at a temperature of at most 250° C., preferably at most 230° C., to at least 80 weight % are disclosed. The active substance is preferably a compound having the general formula (I) R1R2R3NO  (I) where R1 is hydrogen or an unsubstituted or substituted C1-C30 alkyl, alkenyl, or aryl group, and R2 and R3, independently of one another, are hydrogen or unsubstituted or substituted C1-C10 alkyl, alkenyl, or aryl groups.

Abstract: A tow of melt spun filaments and a method for treating such filaments to produce a tow of uniformly crimped filaments having a high initial modulus by heat setting and stuffer box crimping includes the steps of heat-setting the tow, spraying the hot-heat-set tow with an aqueous fiber finish to effect shocklike cooling of the tow, passing the sprayed tow to a pair of squeeze rolls in whose nip it is kneaded through using a defined nip pressure and squeezed off to a fiber finish pickup of 0.7 to 7% by weight of the tow weight, heating the squeezed-off moist tow on a heated multiroll arrangement in such a way that it leaves the multiroll arrangement with a moisture content of 0.5 to 5% by weight of the tow weight and a temperature of 40.degree. to 1000.degree. C., feeding the tow with this moisture content and this temperature to a crimping machine and crimping it.

Abstract: A method for treating a tow of melt-spun filaments to produce a tow of uniformly crimped filaments having a high initial modulus by heat-setting and stuffer box crimping includes the steps of heat-setting the tow, spraying the hot-heat-set tow with an aqueous fiber finish to effect shocklike cooling of the tow, passing the sprayed tow to a pair of squeeze rolls in whose nip it is kneaded through using a defined nip pressure and squeezed off to a fiber finish pickup of 0.7 to 7% by weight of the tow weight, heating the squeezed-off moist tow on a heated multiroll arrangement in such a way that it leaves the multiroll arrangement with a moisture content of 0.5 to 5% by weight of the tow weight and a temperature of 40.degree. to 100.degree. C., feeding the tow with this moisture content and this temperature to a crimping machine and crimping it.

Abstract: There is described a process for producing polyester foam fiber where sodium carbonate and citric acid are added as blowing agent before spinning together with polycarbonate. The proportion of blowing agent is from 0.15 to 0.80 percent by weight of the polyester and the proportion of polycarbonate is from 0.5 to 2 percent by weight of the polyester. The process of the invention makes it possible to produce foam fiber, i.e. filament or staple fiber with discontinuous voids, which may be used for example as carpet fiber and filling fiber for blankets and cushions or as a lining material for winter clothing.

Abstract: An improved process for the production of polymers having halogen end groups from cationically polymerizable monomers, the monomer being polymerized in an inert solvent at a temperature of from +10.degree. to -130.degree. C. using a catalyst system consisting of a metal halide and an organic halide, compounds corresponding to the following general formula being used as organic halides: ##STR1## wherein X represents a halogen atom;R.sub.1, R.sub.2, R.sub.3, represent C.sub.5 -C.sub.10 cycloalkyl, or a C.sub.1 -C.sub.20 straight- or branched-chain alkyl or ##STR2## wherein R.sub.4 and R.sub.5 represent C.sub.5 -C.sub.10 -cycloalkyl or a C.sub.1 -C.sub.20 straight- or branched-chain alkyl;and the organic halide has at least 5 carbon atoms and at most 50 carbon atoms and is in a concentration of from 10.sup.-1 to 10.sup.-6 mols per mol of monomer, while BX.sub.3, SnX.sub.4, TiX.sub.4, SbX.sub.5 or FeX.sub.