Arbitrage-Based Pricing when Volatility is Stochastic.

The paper investigates the pricing of derivative securities with calendar-time maturities.

Modeling and illustrating requirement prioritization in public e-service development from a value-based perspective

A major problem in e-service development is the prioritization of the requirements of different stakeholders. The main stakeholders are governments and their citizens, all of whom have different and sometimes conflicting requirements. In this paper, the prioritization problem is addressed by combining a value-based approach with an illustration technique. This paper examines the following research question: How can multiple stakeholder requirements be illustrated from a value-based perspective in order to be prioritizable? We used an e-service development case taken from a Swedish municipality to elaborate on our approach. Our contributions are: 1) a model of the relevant domains for requirement prioritization for government, citizens, technology, finances and laws and regulations; and 2) a requirement fulfillment analysis tool (RFA) that consists of a requirement-goal-value matrix (RGV), and a calculation and illustration module (CIM). The model reduces cognitive load, helps developers to focus on value fulfillment in e-service development and supports them in the formulation of requirements. It also offers an input to public policy makers, should they aim to target values in the design of e-services.

Uma experiência na utilizacao do vbm (value based management) como ferramenta de desenvolvimento de estratégias de negócio

Esta tese baseia-se na experiência adquirida com a participação num projeto de implantação do conceito de Value Based Management em urna empresa multinacional de bens de consumo. A maior parte do material aqui comentado foi colhido durante o primeiro semestre do ano de 1995 - período em que durou o projeto - e parte durante duas semanas no início do ano, nas quais participei em Londres de um treinamento intensivo, ministrado por uma conceituada firma de consultoria internacional, sobre a teoria e prática deste novo conceito, juntamente com diversos participantes de outros projetos VBM ao redor do mundo como Estados Unidos, França, Itália, Alemanha, Inglaterra, Espanha, entre outros

A experiência de empresas brasileiras com a implantação do sistema de shareholder value based management: um estudo clínico

Através de um estudo clínico que compreendeu o uso de questionário detalhado, entrevistas de profundidade e workshop de validação, é feita análise da experiência de um pequeno grupo de empresas brasileiras com a implantação do Shareholder Value Based Management, ou gestão baseada em valor. São apresentados os vários critérios de cálculo de valor utilizados e identificados os pontos fortes e fracos de cada método

Análise dos fundamentos do modelo value-based health care delivery à luz das teorias de estratégia

O setor de saúde, globalmente, apresenta problemas relacionados aos seus custos, qualidade e acesso. Porter e Teisberg (2004, 2006) propuseram modelo de gestão específico para a administração estratégica na área, o Value-Based Health Care Delivery (VBHCD). O modelo teve relativa repercussão e vem influenciando muitos atores no setor. Contudo, o modelo vem sendo aceito sem o devido questionamento de seus fundamentos e consistência com a teoria em estratégia. O presente trabalho busca, por meio de um ensaio teórico, analisar o modelo proposto à luz de paradigmas gerais da estratégia empresarial como, por exemplo, o modelo de Porter e a Visão Baseada em Recursos (RBV). Inicialmente, o artigo sintetiza as explicações teóricas do modelo porteriano clássico e da RBV. Em seguida, o VBHCD é examinado comparado a essas explicações, buscando-se relações e, eventualmente, contradições. Conclui-se que o modelo VBHCD não se alinha integralmente a nenhum corpo teórico isoladamente. Mesmo sendo proposto por Porter, parte de seus fundamentos advém, na verdade, de outras correntes teóricas. Esta abordagem integradora de teorias concorrentes, apesar de presente na literatura, ainda apresenta dificuldades e barreiras, um aspecto que não está explícito no modelo

Future value based single assignment program representations and optimizations

An optimizing compiler internal representation fundamentally affects the clarity, efficiency and feasibility of optimization algorithms employed by the compiler. Static Single Assignment (SSA) as a state-of-the-art program representation has great advantages though still can be improved. This dissertation explores the domain of single assignment beyond SSA, and presents two novel program representations: Future Gated Single Assignment (FGSA) and Recursive Future Predicated Form (RFPF). Both FGSA and RFPF embed control flow and data flow information, enabling efficient traversal program information and thus leading to better and simpler optimizations. We introduce future value concept, the designing base of both FGSA and RFPF, which permits a consumer instruction to be encountered before the producer of its source operand(s) in a control flow setting. We show that FGSA is efficiently computable by using a series T1/T2/TR transformation, yielding an expected linear time algorithm for combining together the construction of the pruned single assignment form and live analysis for both reducible and irreducible graphs. As a result, the approach results in an average reduction of 7.7%, with a maximum of 67% in the number of gating functions compared to the pruned SSA form on the SPEC2000 benchmark suite. We present a solid and near optimal framework to perform inverse transformation from single assignment programs. We demonstrate the importance of unrestricted code motion and present RFPF. We develop algorithms which enable instruction movement in acyclic, as well as cyclic regions, and show the ease to perform optimizations such as Partial Redundancy Elimination on RFPF.

Potential Economic Returns from Selling Beef in a Specified Value-Based Market

Three groups of steers--one theoretical group and two experimental groups—were evaluated for marketing cattle live, as boxed beef, and grade and yield when the live price was $71 to $73/cwt, grade and yield price $125/cwt for Choice yield grade 3 carcasses with $20/cwt discount for Select carcasses, and in a commodity-trim or close-trim boxed beef market. The results show that the value of highyielding steers can be significantly increased if sold in a close-trim boxed beef market. The close-trim premiums ranged from $5.06 per head for Select close-trim yield grade 4 carcasses to $87.18 per head for close-trim Choice yield grade 1 carcasses. A group of experimental steers averaging 82% Choice and 60% yield grades 1 and 2 returned an additional $104 in the close-trim boxed market compared with selling live for $73/cwt. Another group of experimental steers averaging 21% Choice, 18% Standard, and 93% yield grades 1 and 2 had $29 per head greater return than if the steers had been sold live for $71/cwt. These comparisons emphasize the importance of knowing how cattle will potentially grade before selecting an alternative marketing strategy. This prior knowledge is most important when the spread in price between Choice and Select is high. Producers need to learn more about their cattle to predict how the cattle may grade for a specified value-based market.

Strategies for Optimizing Value of Finished Cattle in Value-Based Marketing Grids

Performance and carcass data from 624 steers in three experiments were used to evaluate potential strategies that might be used with incoming feeders to remove animals that produce low value carcasses when cattle are sold in a valuebased grid. Removing 10% of the carcasses with the lowest net value from each group increased the overall average net value of the remaining carcasses $17.50 to $21.09. Carcass weight was found to be the most significant factor determining net value of the carcass. Gain of the steers during the first 3 to 5 weeks of the feeding period was significantly related to average final gain and carcass value, but accounted for a small portion of the overall variation in gain or carcass value. Use of initial gain was successful in identifying ten of the sixty-four carcasses with least net value in a value-based grid. Adding frame score and measurement of initial thickness of backfat along with initial gain did not significantly improve identification of the low-value carcasses. Sorting the steers as feeders based on frame score and initial thickness of backfat resulted in differences in performance and carcass measurements. The low-value carcasses tended to be concentrated in the smaller-framed steers.

Effect of Frame Size and Hormone Implant on Performance and Carcass Characteristics of Finishing Yearling Heifers: Returns to a Value-Based Market

Four groups of yearling heifers representing different frame sizes—small, medium, and large Angus and medium Simmental—were fed high-grain finishing diets to average Low Choice quality grade. Half the heifers were implanted with estrogen and trenbolone acetate. Backfat and ribeye area were measured by ultrasound four times during the study to assess growth of muscle and fat. Increasing frame size resulted in increased feed intake, greater rates of gain, and a trend towards reduced feed conversion. Greater returns would have been realized from each of the four groups had they been sold in a premium market based on yield grade rather than the conventional grade and yield market. Increasing frame size resulted in greater returns to the value-based market. Implants increased rate of gain and improved feed conversion but did not result in significantly greater returns to the value-based market compared with the grade and yield market. Ribeye area and backfat increased with body weight and time on feed. Increase in ribeye area was linear with time, whereas accumulation of backfat was exponential. Rate of increase in area of ribeye tended to increase and backfat tended to decrease as frame size increased. Implants increased rate of increase in ribeye area but had no effect on rate of deposition of subcutaneous fat. Equations describing growth of ribeye area and backfat for each group predicted average growth for the heifers but did not predict growth of individual heifers. Final carcass yield grade was related to initial thickness of backfat but not to initial ribeye area. These results indicate that the type of cattle selected to be fed for a premium market based on yield grade is important to the success of the program. More work is needed to develop growth equations from ultrasound measurements, but ultrasound will likely be a useful tool in selecting feeder cattle for a value-based market.

The stock market barometer : a study of its forecast value based on Charles H. Dow's theory of the price movement. With an analysis of the market and its history since 1897 /

Reprint of 1922 ed. with a new introduction.

The adoption of value-based management in large UK companies:a case for diffusion theory

Purpose – In the 1990s, a growing number of companies adopted value-based management (VBM) techniques in the UK. The purpose of this paper is to explore the motivations for the adoption or non-adoption of VBM for managing a business. Design/methodology/approach – An interview-based study of 37 large UK companies. Insights from diffusion theory and institutional theory are utilised to theorise these motivations. Findings – It was found that the rate of adoption of VBM in the sample companies does follow the classical S-shape. It also suggests that the supply-side of the diffusion process, most notably the role played by consultants, was an influence on many companies. This was not, however, a sufficient condition for companies to adopt the technique. The research also finds evidence of relocation diffusion, as several adopters are influenced by new officers, for example chief executive officers and finance directors, importing VBM techniques that they have used in organizations within which they have previously worked. Research limitations/implications – It is quite a small scale study and further work would be needed to develop the findings. Practical implications – Understanding and theorising the adoption of new management techniques will help understand the management of a business. Originality/value – This research adds further evidence to the value of studying management accounting, and more specifically management accounting change, in practice. It shows the developments in the adoption of a new technique and hence how a technique becomes accepted in practice.