Simulation-based pricing of convertible bonds

We propose and empirically investigate a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better capture both the dynamics of the underlying state variables and the rich set of real-world convertible bond specifications. Furthermore, using the simulation model proposed, we present an empirical pricing study of the US market, using 32 convertible bonds and 69 months of daily market prices. Our results do not confirm the evidence of previous studies that market prices of convertible bonds are on average lower than prices generated by a theoretical model. Similarly, our study is not supportive of a strong positive relationship between moneyness and mean pricing error, as argued in the literature.     

Extending multi-tenant architectures: a database model for a multi-target support in SaaS applications

Multi-tenant architectures (MTAs) are considered a cornerstone in the success of Software as a Service as a new application distribution formula. Multi-tenancy allows multiple customers (i.e. tenants) to be consolidated into the same operational system. This way, tenants run and share the same application instance as well as costs, which are significantly reduced. Functional needs vary from one tenant to another; either companies from different sectors run different types of applications or, although deploying the same functionality, they do differ in the extent of their complexity. In any case, MTA leaves one major concern regarding the companies’ data, their privacy and security, which requires special attention to the data layer. In this article, we propose an extended data model that enhances traditional MTAs in respect of this concern. This extension – called multi-target – allows MT applications to host, manage and serve multiple functionalities within the same multi-tenant (MT) environment. The practical deployment of this approach will allow SaaS vendors to target multiple markets or address different levels of functional complexity and yet commercialise just one single MT application. The applicability of the approach is demonstrated via a case study of a real multi-tenancy multi-target (MT²) implementation, called Globalgest.     

What drives the choice of the type of partner in R&D cooperation? Evidence for Spanish manufactures and services

We analyse the heterogeneity in firms’ decisions to engage in R&D cooperation, taking into account the type of partner (competitors, suppliers or customers, and research institutions) and the sector to which the firm belongs (manufactures or services). We use information from the Technological Innovation Panel (PITEC) for Spanish firms and estimate multivariate probit models corrected for endogeneity which explicitly consider the interrelations between the different R&D cooperation strategies. We find that placing a higher importance to publicly available information (incoming spillovers), receiving public funding and firm size increase the probability of cooperation with all kind of partners but the role is much stronger in the case of cooperative agreements with research institutions and universities. Our results also suggest that R&D intensity and the importance attributed to the lack of qualified personnel as a factor hampering innovation are key factors influencing positively R&D cooperation activities in the service sector but not in manufactures.     

Determinants of knowledge-based entrepreneurship: an exploratory approach

We intend to further the research related to the factors that determine successful entrepreneurial endeavours by academic researchers, and thus put forth an exploratory model of Knowledge-Based Entrepreneurship (KBE). Given the lack of extant adequate indicators, a new scale was developed based on the most frequently cited constructs in the literature. A sample of 1,401 researchers from Portuguese universities was administered a questionnaire and the data collected permitted a validation with regards to the psychometric properties of the questionnaire, to see its applicability to the study. The findings suggest that the absence of a patenting history or start-up portfolio act as significant barriers to academic entrepreneurship. However, when the institutional strategy is to increase patenting and spin-off activities, the university should begin investing in creating a networking environment capable of reinforcing the researchers’ Social Capital. Observing the example of successful entrepreneurs motivates other researchers to consider the possibility of developing their own ventures. The Structural Equations Modelling (SEM) approach allowed for us to identify and measure the non-linear relationships that shape the core of KBE and influence the attainment of measurable outcomes aimed at encouraging entrepreneurship. A relatively high share of the variance of the dependent variables is explained by the model, ensuring their representativeness and contributing to the state-of-art of the knowledge in this research field.     

Assessing the economic impact of entrepreneurship on a regional economy using social accounting matrices: the case of Andalusia

This article analyses the impact that entrepreneurial activity has, from the economic point of view, on a regional economy (Andalusia), based on a Social Accounting Matrix linear model. Moreover, to measure entrepreneurship at regional level, it is defined what can be considered an entrepreneurial initiative company from a quantitative point of view. The results obtained, in terms of Production, GDP and job creation, show how entrepreneurship, in the case of Andalusia, contributes to the sustainability of the economy, its growth and, above all, the reduction of unemployment in the short term.     

Cognition,Social Impulse,and the Principle of Adaptation: Insights into the Peirce-Veblen Connection

This article seeks to offer insights into the connections between Charles S. Peirce and Thorstein B. Veblen regarding their understanding of the logic of scientific thought and cognition. In this sense, this work explores how both Veblen and Peirce dismissed the Cartesian notion of unmediated cognition and how they sought to depict cognition as a process. Furthermore, this article presents Peirce’s concept of “social impulse” and Veblen’s “principle of adaptation” as complementary perspectives on science and cognition that have strong evolutionary content.     

On dichotomous choice contingent valuation data analysis: Semiparametric methods and Genetic Programming

The aim of this paper is twofold. Firstly, we introduce a novel semiparametric technique called Genetic Programming to estimate and explain the willingness to pay to maintain environmental conditions of a specific natural park in Spain. To the authors’ knowledge, this is the first time in which Genetic Programming is employed in contingent valuation. Secondly, we investigate the existence of bias due to the functional rigidity of the traditional parametric techniques commonly employed in a contingent valuation problem. We applied standard parametric methods (logit and probit) and compared with results obtained using semiparametric methods (a proportional hazard model and a genetic program). The parametric and semiparametric methods give similar results in terms of the variables finally chosen in the model. Therefore, the results confirm the internal validity of our contingent valuation exercise.