Valuing Hedge Fund Fees

by Xiao, Li

Abstract (Summary)
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.
Bibliographical Information:


School:University of Waterloo

School Location:Canada - Ontario

Source Type:Master's Thesis

Keywords:computer science hedge fund performance fee parallel computation pide


Date of Publication:01/01/2006

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