One of the key processes of IS/IT service provider is Service Level Management. IT service provider faces a problem how the services should be defined, how a balanced service portfolio should be set up and how the processes covering the service management should be designed to meet strategic goals of the organization. The thesis focuses on IS/IT service portfolio design and management with a particular focus on infrastructure services. General goal of the thesis is to support IS/IT service provider's activities directly linked with service level management, IT financial management and IT service portfolio design. The thesis puts together theoretical sources in the area of IT Governance, generally accepted methodologies and best practices, actual market trends and author's experience. The theoretical part maps current development in the field of IS/IT service management, summarizes relevant theoretical inputs, categorizes IS/IT services, gives an overview of the most commonly used pricing models and presents actual IS/IT market trends, such as SaaS or Utility Computing. The application part, which follows the theoretical part of the thesis, is built upon fundaments of key findings and conclusions of the theoretical part. Application section introduces a method of service level management transformation and a business model suitable for IS/IT service provider. Furthermore a process of IS/IT service portfolio design is introduced. The process is supported by an analytical tool, which enables analysis of provider's financial and infrastructure data. The output of the analysis is a set of scenarios of IS/IT service portfolio including revenue, costs and utilization of resources and technologies. Academic benefit is seen not only in the consolidation of relevant theoretical sources dealing with IT service design and management. The thesis also introduces frameworks for optimization of service level management process and a concept of a IT service provider's business model. A practical contribution of the thesis is seen in a process of IT service portfolio design supported by an analytical tool for provider's real data processing, covering demand, capacity, utilization and financials.

Multicast has long been considered an attractive service for the Internet for the provision of multiparty applications. For over a decade now multicast has been a proposed IETF standard. Though there is a strong industry push towards deploying multicast, there has been little multicast deployment by commercial Internet Service Providers (ISPs) and more importantly most end-users still lack multicast capabilities. Depending on the underlying network infrastructure, the ISP has several options of implementing his multicast capabilities. With significantly faster and more sophisticated protocols being designed and prototyped, it is expected that a whole new gamut of applications that are delay sensitive will come into being. However, the incentives to resolve the conflicting interests of the ISPs and the end-users have to be provided for successful implementation of these protocols. Thus we arrive at the following economic questions: What is the strategy that will enable the ISP recover his costs ? How can the end-user be made aware of the cost of his actions ? Naturally, the strategies of the ISP and the end-user depend on each other and form an economic game. The research problems addressed in this thesis are: A pricing model that is independent of the underlying transmission protocols is prefered. We have proposed such a pricing scheme for multicast independent of the underlying protocols, by introducing the concept of pricing points* These pricing points provide a range of prices that the users can expect during a particular time period and tune their usage accordingly. Our pricing scheme makes both the sender and receiver accountable. Our scheme also provides for catering to heterogeneous users and gives incentive for differential pricing. We explore a number of formulations of resource allocation problems arising in communication networks as optimization models. Optimization-based methods were only employed for unicast congestion control. We have extended this method for single rate multicast. We have also devised an optimization-based approach for multicast congestion control that finds an allocation rate to maximize the social welfare. Finally we also show that the session-splitting problem can also be cast as an optimization problem. The commonly used "max-min" fairness criteria suffers from serious limitations like discriminating sessions that traverse large number of links and poor network utilization. We provide an allocation scheme that reduces discrimination towards multicast sessions that traverse many links and also improves network utilization.

This thesis investigates the nature of joint dividend-and-earnings signalling in announcements to the New Zealand Stock Exchange in the 1990s. Initially the Market Model is used to compute expected returns, and the abnormal returns derived from these are subjected to restricted least squares regressions to separate out a putative dividend signal from the concurrent earnings signal. But with the Market Model, the zero-value company returns associated with an absence of trading in thinly traded stocks are over-represented in returns distributions leading to problems of bias. New models are developed that explicitly exploit zero returns. The first alternative methodology entails friction modelling, which uses a maximum likelihood estimation procedure to find the relationship coefficients and the range of returns that should be considered as zero, and then proceeds to treat them as a separate category. The second alternative methodology is that of state asset models, which take a fresh new look at investor perceptions of the connection between movements in company returns and those of the concurrent underlying market. Zero-value company returns cease to be zero in value, where a state model is rotated, or alternatively they can be modelled as an extra state. All three methodologies furnish some evidence of dividend signalling; but this evidence is highly dependent on small changes within the given methodology.

The main goal of this dissertation was to obtain an understanding as to the true economic nature of employee share options and the problems surrounding the accounting thereof. The main conclusion of this study is that employee share options should be expensed in the income statement as and when the employee's services are performed. The reason is that employee share options are valuable financial instruments which the employer has used to compensate the employee for his services. It was also concluded that exercise date accounting and classification of outstanding employee share options as liabilities on the balance sheet is the most appropriate accounting treatment. Such accounting treatment trues up the accounting of employee share options with that of cash-settled share appreciation rights, which are economically equivalent transactions. The measurement of employee share options should be based on their fair value using an option-pricing model adapted for the specific features of employee share options. / Accounting / Thesis (M. Com. (Accounting Science))

This study aimed to construct a liquidity measure using their proxies and assess their applicability in the financial context. To that, this study proposes the creation of a negotiability measure, which is a compendium of negotiability proxies used by the literature. The statistical procedure used to obtain this measure was the time series factor analysis (TSFA), which it is an extension of traditional factor analysis, working with time series instead of cross-section data. The data used for the illustration presented came from the trading of 858 stocks on BM&FBOVESPA from January 2000 to February 2016. As a result, the measure constructed for the market was demonstrated to be consistent with the others and capable, in terms of correlation, of replacing the proxies used in its construction. In addition, it presented intermediate statistics in relation to their peers, which suggests that the measure can show more balanced results. When analyzed the applicability of the measure in liquidity pricing models, was observed that it has an explanatory power similar to the other proxies used. Having as main differential the advantage of reducing the dimensions of liquidity, considering the information contained in all proxies in only one measure. Moreover, the findings suggest no differences between the means of the measures. However, when observed the variance, the negotiability measure showed distinct from the others, presenting intermediate statistics. In this sense, it is possible to conjecture that the negotiability measure tends to present similar results when used in models based on average, as is the case of regressions. On the other hand, it may be more advantageous and accurate in models that consider variance. / O presente estudo teve o objetivo de construir uma medida de liquidez utilizando suas proxies e avaliar a sua aplicabilidade no contexto financeiro. Para tanto, este trabalho propôs a criação de uma medida de negociabilidade, a qual é um compendio de proxies de negociabilidade empregadas pela literatura. O procedimento estatístico utilizado para a obtenção desta medida foi a Análise Fatorial de Séries Temporais (TSFA), a qual é uma extensão da análise fatorial tradicional, trabalhando com séries de tempo ao invés de dados de corte. Os dados utilizados para a ilustração apresentada foram provenientes da negociação de 858 ações na BM&FBOVESPA no período de janeiro de 2000 até fevereiro de 2016. Como resultados, a medida construída para o mercado demonstrou-se consistente em relação às demais e capaz, em termos de correlação, de substituir as proxies utilizadas na sua construção. Além disso, apresentou estatísticas intermediárias em relação aos seus pares, o que sugere que a medida pode exibir resultados mais equilibrados. Quando analisada a aplicabilidade da medida em modelos de precificação com liquidez, observou-se que ela possui um poder explicativo similar as outras proxies utilizadas. Tem como principal diferencial a vantagem de reduzir as dimensões da liquidez, pois considera a informação contida em todas as proxies em apenas uma medida. Além disso, as descobertas sugeriram não haver diferenças de médias entre as medidas. Porém, quando observada a variância, a medida de negociabilidade se mostrou distinta das demais, apresentando estatísticas intermediárias. Neste sentido, é possível conjecturar que a medida de negociabilidade tende a apresentar resultados similares quando utilizada em modelos baseados em média, como é o caso das regressões. Por outro lado, pode ser mais vantajosa e precisa em modelos que considerem a variância.

[pt] Esta tese é composta por dois ensaios sobre finanças empíricas. O primeiro se concentra nos mercados de câmbio e apresenta medidas de mudanças na inclinação da estrutura de curto prazo das taxas de juros para os EUA e outros países de G10, usando contratos de futuros de 3 e 6 meses. Essas mudanças na inclinação têm impacto imediato nos retornos da moeda e também forte efeito retardado nas semanas seguintes, o que implica que as moedas são previsíveis tanto dentro quanto fora da amostra. Os investidores que condicionam na inclinação para negociar taticamente uma carteira comprada em moedas G10 contra o Dólar americano melhoram os índices de Sharpe para 0,4-0,9, em relação a 0,15 de uma estratégia de buy and hold. Uma carteira de moeda neutra em dólares que classifica as moedas dos países do G10 de acordo com a inclinação no cross-section também oferece índices de Sharpe mais altos do que outras estratégias de moeda como o carry trade. Essas descobertas são compatíveis com uma reação defasada do mercado de câmbio às informações sobre taxas de juros. O segundo ensaio propõe uma nova medida que usa apenas informações de dispersão cross-section de betas do modelo CAPM para prever retornos agregados de mercado para os EUA. Esta escolha de preditores é baseada em argumentos teóricos simples de que as medidas associadas à dispersão dos betas do CAPM, em alguns cenários, devem ser relacionadas aos retornos futuros de mercado esperados. Essas medidas de dispersão de fato prevêem o prêmio de risco de mercado em vários horizontes e fornecem alto poder preditivo dentro e fora da amostra. O R2 fora da amostra atinge até 10 porcento na frequência anual (0,7 porcento mensal) e são robustos a diferentes janelas de estimação. Ao contrário da maioria das medidas encontradas na literatura, a nossa não é baseado em preço ou valuation ratios. Nossas medidas variam com o ciclo econômico e se correlacionam com outras variáveis de previsão comumente usadas, como razões de dividendo-preço e consumo-riqueza, mas fornecem poder explicativo acima e além dos preditores padrão. Nossos resultados fornecem evidências adicionais de que a dispersão dos betas ao longo do tempo é função da variação temporal do prêmio de risco de mercado. / [en] The thesis is composed of two essays on empirical finance. The first focuses on FX markets and presents measures of interest rates shortterm structure slope changes for the US and other G10 countries using 3- and 6-month futures contracts. These changes in slopes have immediate impact on currency returns but also a strong delayed effect over the following weeks, implying that currencies are predictable both in and outof-sample. Investors that condition on slope to tactically trade a long G10 portfolio improve Sharpe ratios to 0.4-0.9, relative to 0.15 for a buy-andhold strategy. A dollar-neutral currency portfolio that sorts G10 country currencies on the cross-section slope also deliver higher Sharpe ratios than other currency strategies, such as the carry trade. These findings are compatible with delayed currency market reaction to information in interest rates. The second essay proposes a novel measure that solely use crosssectional dispersion information on CAPM betas to forecast aggregate market returns for the US. This choice of predictors is based on simple theoretical arguments that measures associated with the dispersion of CAPM betas, in some settings, should be related with expected future market returns. We find that these dispersion measures do indeed forecast market risk premium over multiple horizons and deliver high in-sample and out-of-sample predictive power: out-of-sample R2 reaches up to 10 percent at the annual frequency (0.7 percent monthly) and are robust to different estimation windows. Unlike most measures in the literature, ours is not a price- or valuation-based ratio. Our approach is also an alternative to models that use the cross-section of valuation ratios to infer the conditional market risk premium. Our measures vary with the business cycle and correlate with other commonly used forecasting variable such as dividend-price or consumption-wealth ratios, but they provide explanatory power above and beyond the standard predictors. Our findings provide additional evidence that the betas dispersion across time is a function of time varying risk premium.

As the stainless steel industry continues to grow, so does the environmental impacts generated by the various production processes. Such impacts not only affect the environment but pose great health concerns for humans and other living things. Therefore, it is necessary for all stakeholders to continuously improve their sustainability work. Metal recovery is one of the ways this can be done. There exists different organisations within the stainless steel industry, all of which are likely to benefit from metal recycling solutions. However, it is not obvious what models for value capture are most appropriate regarding such new technology. Adopting an appropriate value capture model is crucial for any organisation offering a service or a product. It is what ultimately determines an organisation’s revenues, profits as well as the amounts reinvested in the organisation’s growth for its long-term survival. By considering a case company offering a metal recycling solution, this study investigates how such a company may best leverage the value created by their technology. This is achieved by implementing a qualitative approach consisting of an extant literature review, accompanied by empirical findings through interviews with potential customers. Different factors affecting the formulation of an offering, as well as a value-based pricing model for that offering, are analysed. The study proposes a framework for how organisations can efficiently and effectively implement a value-based pricing model for a certain offering. This framework is put into context in regard to the empirical findings. Moreover, the empirical study identifies the potential customers’ perceived value as a result of the metal recycling solution as; opportunities for material reuse and circular economy in production, enhanced waste management, improved brand and the corporate image, and increased operational efficiency. Lastly, identified key determining factors of value realisation from the customer perspective were; payback time, operational aspects, organisational and operational size, type of offering of a metal recycling solution, regulations and public process surveillance and views on pricing strategy. / Medans den rostfria stålindustrin fortsätter att växa ökar även miljöpåverkan från dess olika produktionsprocesser. Sådana effekter påverkar inte bara miljön, utan utgör även stora hälsoproblem för människor och andra levande organismer. För att minska dess miljöpåverkan är det nödvändigt för alla parter inom industrin att kontinuerligt förbättra sitt hållbarhetsarbete. Ett alternativt sätt detta kan göras på är med hjälp av metallåtervinning. Det finns olika företag och organisationer inom den rostfria stålindustrin, som alla troligen kan dra nytta av metallåtervinningslösningar. Det är dock inte uppenbart vilka modeller för värdefångst som är mest lämpliga för en sådan teknik, vilket är problematiskt för de som erbjuder en sådan lösning. Att bestämma en lämplig modell för värdefångst är dock avgörande för alla organisationer som erbjuder en tjänst eller produkt. Det är det som i slutändan avgör en organisations intäkter, vinster samt de belopp som återinvesteras i organisationens tillväxt för dess långvariga överlevnad. Genom att studera ett företag som erbjuder en metallåtervinningslösning har denna studie som syfte att undersöka hur ett sådant företag bäst kan utnyttja det värde som skapas av deras teknik. Detta uppnås genom att implementera en kvalitativ metod som består av en litteraturstudie, följt av empiriska resultat från intervjuer med potentiella kunder till företaget. Olika faktorer som påverkar formuleringen av en produkt/tjänst och en värdebaserad prissättningsmodell för den produkten/tjänsten analyseras. Detta arbete tar fram och föreslår ett ramverk för hur organisationer effektivt kan implementera en värdebaserad prissättningsmodell för ett visst erbjudande. Detta ramverk sätts sedan i sammanhang i samband med de empiriska resultaten. Den empiriska studien identifierar även de potentiella kundernas upplevda värde till följd av metallåtervinningslösningen som; möjligheter för materialanvändning och cirkulär ekonomi i produktionen, förbättrad avfallshantering, förbättrat varumärke och företagsimage och ökad operativ effektivitet. Slutligen identifierades viktiga avgörande faktorer för värdeförverkligande ur kundperspektivet som; återbetalningstid, operativa aspekter, organisatorisk och operativ storlek, typ av erbjudande av metallåtervinningslösning, regler och offentlig processövervakning och syn på prisstrategi.

Dans le monde économique, les contrats d'options sont très utilisés car ils permettent de se couvrir contre les aléas et les risques dus aux fluctuations des prix des actifs sous-jacents. La détermination du prix de ces contrats est d'une grande importance pour les investisseurs.Dans cette thèse, on s'intéresse aux problèmes d'évaluation des options, en particulier les options Européennes et Quanto sur un actif financier dont le prix est modélisé en multi dimensions par un modèle de diffusion-saut à volatilité stochastique avec sauts (1er cas considère la volatilité sans sauts, dans le 2ème cas les sauts sont pris en compte, finalement dans le 3ème cas, l'actif sous-jacent est sans saut et la volatilité suit un CEV modèle sans saut). Ce modèle permet de mieux prendre en compte certains phénomènes observés dans les marchés. Nous développons des méthodes numériques qui déterminent les valeurs des prix de ces options. On présentera d'abord le modèle qui s'écrit sous la forme d'un système d'équations intégro-différentielles stochastiques "EIDS", et on étudiera l'existence et l'unicité de la solution de ce modèle en fonction de ses coefficients, puis on établira le lien entre le calcul du prix de l'option et la résolution de l'équation Intégro-différentielle partielle (EIDP). Ce lien, qui est basé sur la notion des générateurs infinitésimaux, nous permet d'utiliser différentes méthodes numériques pour l'évaluation des options considérées. Nous introduisons alors l'équation variationnelle associée aux EIDP et démontrons qu'elle admet une unique solution dans un espace de Sobolev avec poids en s'inspirant des travaux de Zhang [106].Nous nous concentrons ensuite sur l'approximation numérique du prix de l'option en considérant le problème dans un domaine borné, et nous utilisons pour la résolution numérique la méthode des éléments finis de type (P1), et un schéma d'Euler-Maruyama, pour se servir, d'une part de la méthode de différences finies en temps, et d'autre part de la méthode de Monté Carlo et la méthode Quasi Monte Carlo. Pour cette dernière méthode nous avons utilisé les suites de Halton afin d'améliorer la vitesse de convergence.Nous présenterons une étude comparative des différents résultats numériques obtenus dans plusieurs cas différents afin d'étudier la performance et l'efficacité des méthodes utilisées. / In the modern economic world, the options contracts are used because they allow to hedge against the vagaries and risks refers to fluctuations in the prices of the underlying assets. The determination of the price of these contracts is of great importance for investors.We are interested in problems of options pricing, actually the European and Quanto options on a financial asset. The price of that asset is modeled by a multi-dimentional jump diffusion with stochastic volatility. Otherwise, the first model considers the volatility as a continuous process and the second model considers it as a jump process. Finally in the 3rd model, the underlying asset is without jump and volatility follows a model CEV without jump. This model allow better to take into account some phenomena observed in the markets. We develop numerical methods that determine the values of prices for these options. We first write the model as an integro-differential stochastic equations system "EIDS", of which we study existence and unicity of solutions. Then we relate the resolution of PIDE to the computation of the option value. This link, which is based on the notion of infinitesimal generators, allows us to use different numerical methods. We therefore introduce the variational equation associated with the PIDE, and drawing on the work of Zhang [106], we show that it admits a unique solution in a weights Sobolev space We focus on the numerical approximation of the price of the option, by treating the problem in a bounded domain. We use the finite elements method of type (P1), and the scheme of Euler-Maruyama, for this serve, on the one hand the finite differences method in time, and on the other hand the method of Monte Carlo and the Quasi Monte Carlo method. For this last method we use of Halton sequences to improve the speed of convergence.We present a comparative study of the different numerical results in many different cases in order to investigate the performance and effectiveness of the used methods.

<p>The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. Following Fama & French many other researchers examine the explanatory powers of CAPM and other asset pricing models. However, most of those studies use US data. There are some researches done in different countries than US, however more out-of-sample studies need to be conducted.</p><p>To our knowledge there are very few studies using the Swedish data and this thesis contributes to that small pool of studies. Moreover, the studies testing the CAPM use the unconditional version of the model. There are some papers suggesting the use of a conditional CAPM that would exhibit better explanatory powers than the unconditional CAPM. Different ways of conditioning the CAPM have been proposed, but one that we think is the least complex and possible to make use of in the business world is the dual-beta model. This conditional CAPM assumes a different relationship between beta and stock returns during the up markets and down markets. Furthermore, the model has not thoroughly been tested outside the US. Our study is the first to use the dual-beta model in Sweden. In addition, the momentum effect has lately been given some attention and Fama & French‟s (1993) three factor model has not been able to explain the abnormal returns related to that anomaly. We test the Fama & French three factor model, CAPM and Carhart‟s four factor model‟s explanatory abilities of the momentum effect using Swedish stock returns. Ultimately, our aim is to find the best model that describes stock return cross-section on the Stockholm Stock Exchange.</p><p>We use returns of all the non-financial firms listed on Stockholm Stock Exchange between September, 1997 and April, 2010. The number of companies included in our time sample is 366. The results of our tests indicate that the small firm effect, book-to-market effect and the momentum effect are not present on the Stockholm Stock Exchange. Consequently, the CAPM emerges as the one model that explains stock return cross-section better than the other models suggesting that Beta is still a proper measure of risk. Furthermore, the conditional version of CAPM describes the stock return variation far better than the unconditional CAPM. This implies using different Betas to estimate risk during up market conditions and down market conditions.</p>

The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama &amp; French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. Following Fama &amp; French many other researchers examine the explanatory powers of CAPM and other asset pricing models. However, most of those studies use US data. There are some researches done in different countries than US, however more out-of-sample studies need to be conducted. To our knowledge there are very few studies using the Swedish data and this thesis contributes to that small pool of studies. Moreover, the studies testing the CAPM use the unconditional version of the model. There are some papers suggesting the use of a conditional CAPM that would exhibit better explanatory powers than the unconditional CAPM. Different ways of conditioning the CAPM have been proposed, but one that we think is the least complex and possible to make use of in the business world is the dual-beta model. This conditional CAPM assumes a different relationship between beta and stock returns during the up markets and down markets. Furthermore, the model has not thoroughly been tested outside the US. Our study is the first to use the dual-beta model in Sweden. In addition, the momentum effect has lately been given some attention and Fama &amp; French‟s (1993) three factor model has not been able to explain the abnormal returns related to that anomaly. We test the Fama &amp; French three factor model, CAPM and Carhart‟s four factor model‟s explanatory abilities of the momentum effect using Swedish stock returns. Ultimately, our aim is to find the best model that describes stock return cross-section on the Stockholm Stock Exchange. We use returns of all the non-financial firms listed on Stockholm Stock Exchange between September, 1997 and April, 2010. The number of companies included in our time sample is 366. The results of our tests indicate that the small firm effect, book-to-market effect and the momentum effect are not present on the Stockholm Stock Exchange. Consequently, the CAPM emerges as the one model that explains stock return cross-section better than the other models suggesting that Beta is still a proper measure of risk. Furthermore, the conditional version of CAPM describes the stock return variation far better than the unconditional CAPM. This implies using different Betas to estimate risk during up market conditions and down market conditions.