Here's a Swedish article that talks about the photoshoot with the little prince:
Här är "lill-Jokke" - KVP.se - Senaste nytt | Expressen - Nyheter Sport Ekonomi Nöje
The photographer, Steen Brogaard had to work quickly in order to photograph the baby while he was awake. He was asleep when the Brogaard arrived, and fell asleep immediately after the last photos were taken. The article says that the baby has been referred to (doesn't say who calls him this) as Lill-Jokke (little Joachim). The rumors about the baby's name are that he may be called Albert. According to the article, many Danes are hoping that he will be called Waldemar. The readers of one of the newspapers are hoping that he will be called William. The article states that it is possible that Marie will be one of his names, as this is a French tradition for boys as well as girls. Prince Henrik has Marie in his name.