Valuing Hedge Fund Fees

dc.contributor.author	Xiao, Li	en
dc.date.accessioned	2007-05-08 14:01:17 (GMT)
dc.date.available	2007-05-08 14:01:17 (GMT)
dc.date.issued	2006	en
dc.date.submitted	2006	en
dc.identifier.uri	http://hdl.handle.net/10012/2931
dc.description.abstract	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.	en
dc.format	application/pdf	en
dc.format.extent	418905 bytes
dc.format.mimetype	application/pdf
dc.language.iso	en	en
dc.publisher	University of Waterloo	en
dc.rights	Copyright: 2006, Xiao, Li. All rights reserved.	en
dc.subject	Computer Science	en
dc.subject	Hedge fund	en
dc.subject	performance fee	en
dc.subject	parallel computation	en
dc.subject	PIDE	en
dc.title	Valuing Hedge Fund Fees	en
dc.type	Master Thesis	en
dc.pending	false	en
uws-etd.degree.department	School of Computer Science	en
uws-etd.degree	Master of Mathematics	en
uws.typeOfResource	Text	en
uws.peerReviewStatus	Unreviewed	en
uws.scholarLevel	Graduate	en