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The Mathematics of Hedge Fund FeesExport this event to calendar

Tuesday, May 10, 2016 — 4:00 PM EDT

Asset managers collect fees, from investors, which are dependent on the future performance of the investments they manage, and therefore stochastic. A new type of business is developing where the managers offer the investors certain forms of loss protection. In this talk we will review some of them, and will propose a cost/benefit analysis using the Black-Scholes option pricing framework, which will show that in some situations, the manager can actually end up paying the investor.

Speaker: Luis Seco
Professor, Department of Mathematics
University of Toronto
President and CEO, Sigma Analysis & Management

Topic: “The Mathematics of Hedge Fund Fees”
Date: Tuesday, May 10, 2016
Time: 4:00 p.m. 
Place: Mathematics 3, Room M3 3127, University of Waterloo

Abstract

Asset managers collect fees, from investors, which are dependent on the future performance of the investments they manage, and therefore stochastic. A new type of business is developing where the managers offer the investors certain forms of loss protection. In this talk we will review some of them, and will propose a cost/benefit analysis using the Black-Scholes option pricing framework, which will show that in some situations, the manager can actually end up paying the investor.


About the Speaker

Luis Seco is a Professor of Mathematics at the University of Toronto, where he also directs the Mathematical Finance Program and the RiskLab, a research laboratory that specializes in risk management research. He is the President and CEO of Sigma Analysis & Management, an asset management firm that provides hedge fund investment products that employ managed account structures to create products with unique transparency, analytics and liquidity characteristics. He holds a PhD in Mathematics from Princeton and was a Bateman Instructor at the California Institute of Technology. 

Faculty Host: Professor David Saunders, Department of Statistics and Actuarial Science, University of Waterloo

To find out more, contact the Waterloo Research Institute in Insurance, Securities and Quantitative Finance
University of Waterloo M3 4108 - (519) 888-4567 ext. 31043 – watrisq@uwaterloo.ca | website 

Location 
M3 - Mathematics 3
Room 3127
200 University Avenue West
Waterloo, ON N2L 3G1
Canada

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