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Valuing Hedge Fund Fees

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.

Identiferoai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:OWTU.10012/2931
Date January 2006
CreatorsXiao, Li
PublisherUniversity of Waterloo
Source SetsLibrary and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada
LanguageEnglish
Detected LanguageEnglish
TypeThesis or Dissertation
Formatapplication/pdf, 418905 bytes, application/pdf
RightsCopyright: 2006, Xiao, Li. All rights reserved.

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