This thesis applies a Partial Integral Differential Equation model, along with a Monte Carlo approach to quantitatively analyze the no arbitrage value of hedge fund performance fees. From a no-arbitrage point of view, the investor in a hedge fund is providing a free option to the manager of the hedge fund. The no-arbitrage value of this option can be locked in by the hedge fund manager using a simple hedging strategy. Interpolation methods, grid construction techniques and parallel computation techniques are discussed to improve the performance of the numerical methods for valuing this option.
| Identifer | oai:union.ndltd.org:WATERLOO/oai:uwspace.uwaterloo.ca:10012/2931 |
| Date | January 2006 |
| Creators | Xiao, Li |
| Publisher | University of Waterloo |
| Source Sets | University of Waterloo Electronic Theses Repository |
| Language | English |
| Detected Language | English |
| Type | Thesis or Dissertation |
| Format | application/pdf, 418905 bytes, application/pdf |
| Rights | Copyright: 2006, Xiao, Li. All rights reserved. |
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