Valuing Hedge Fund Fees

Computer Science;Hedge fund;performance fee;parallel computation;PIDE

Xiao, Li

University of Waterloo

关键词: Computer Science;    Hedge fund;    performance fee;    parallel computation;    PIDE;   

Others  :  https://uwspace.uwaterloo.ca/bitstream/10012/2931/1/lxiao2006.pdf

瑞士|英语

来源: UWSPACE Waterloo Institutional Repository

【 摘 要 】

This thesis applies a Partial Integral Differential Equationmodel, along with a Monte Carlo approach to quantitatively analyzethe no arbitrage value of hedge fund performance fees. From ano-arbitrage point of view, the investor in a hedge fund isproviding a free option to the manager of the hedge fund. Theno-arbitrage value of this option can be locked in by the hedgefund manager using a simple hedging strategy. Interpolationmethods, grid construction techniques and parallel computationtechniques are discussed to improve the performance of thenumerical methods for valuing this option.