An Empirical Investigation of Continuous-Time Equity Return Models

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity. We find that any reasonably descriptive continuous-time model for equity-index returns must allow for discrete jumps as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We also find that the dominant empirical characteristics of the return process appear to be priced by the option market. Our analysis indicates a general correspondence between the evidence extracted from daily equity-index returns and the stylized features of the corresponding options market prices.

CAN DESIGN SCIENCE BE USED FOR DESIGN?

Design Science is currently much discussed in Information Systems research. In our analysis we distinguish two distinct threads in this discussion. The first thread is a meta-debate about the nature of IS research, and (in particular) how design work can properly be enacted as research. The second thread is a normative discussion of how design work should be conducted – important in a field where the principle objects of study are designed artefacts called information systems. If these principles for design have any consequence at all, they should be verifiable and they should be evaluated. In this research, conducted with student software designers at Aalborg University, we pose the question ‘can design science be used to build software?’ Ten experienced students in the Department of Computer Science participated in experiments to use design science theory as the principle inspiration for small software development projects. They studied the literature, chose appropriate starting theories, designed their own development processes, used them to build small mobile applications, documented their experiences and evaluated those experiences by writing research articles. A more experienced researcher helped organise the experiments and supervised the research. Students were surprisingly positive about their experiences with design science and the causes for this enthusiasm, and the underlying contribution of design science to the software developments are discussed

Rationality Parameter for Exercising American Put

In this paper, irrational exercise behavior of the buyer of an American put is characterized by a single parameter. We model irrational exercise rules as the first jump time of a point processes with stochastic intensity. By the rationality parameter, we parameterize a family of stochastic intensities that depends on the value of the put itself. We present a probabilistic proof that the value of the American put using the irrational exercise rule converges to the arbitrage-free price as the rationality parameter converges to infinity. Another application of this result is the penalty method for approximating the price of an American put

Analyse af fødevarekæder

The working paper contains a description of the methods used in the analysis of selected supply chains in the Danish food and agricultural industry. The analyses, which include the supply chains for pork, chickens, eggs, beef meat and fur production, are part of a greater research project focusing on cost-benefit analyses of Danish food products with special emphasize on food quality and safety. This working paper only review the adopted methods in the analyses, as separate reports will be published for each of the investigated supply chains. The reviewed analytical methods are used to describe and analyse the firms and actors in the individual food chain, their activities and economic value added, organisation and regulation schemes as well as the incentives and barriers in the chain towards producing food products with specific quality and safety attributes

Det nye homo economicus: En undersøgelse af diskursen om investoren i danske medier, 1980 til 2020

Denne artikel undersøger udviklingen i diskursen om investoren i danske medier i perioden 1980-2020 og argumenterer for, at der som følge af denne er fremvokset et nyt neoliberalt homo economicus i form af investorsubjektet. Karakteristisk for investorsubjektet er, at det definerer og udtrykker sig selv gennem investeringer i værdipapirer på finansmarkedet. Som led i undersøgelsen fremhæves desuden fire forskellige subjektivitetstyper, som er særligt fremtrædende i diskursen: den etiske investor, den kvindelige investor, den økonomisk uafhængige investor og den passive investor. Artiklens konklusion er, at diskursen kan ses som en måde, hvorpå det finansielle systems eksistens og normative samfundsfunktion legitimeres

Understanding Digital Innovation from a Layered Architectural Perspective

Managing successful digital innovation processes is a challenging task, especially when it involves heterogeneous actors with different sets of knowledge. By gaining a better understanding of how different architectural layers of digital technology interplay with digital innovation, we can be better prepared for managing the complex and messy processes that often arise when working with digital innovation. In this article, we therefore ask: How does the layered architecture of digital technology interplay with digital innovation processes? A case study approach was selected to studied events involving multiple actors in an innovation and development project called the Smart Lock project. The theoretical basis for our study is digital innovation from the perspective of knowledge exchange and relationships. A temporal bracketing strategy was used to support a process analysis of the case data. The article primarily contributes to the body of research concerning digital innovation and provides an example to practitioners of how digital innovation processes can be coordinated and managed based on the innovation at hand