Exploring Field Programmable Gate Array Architectures for Pascal's Simplex-based multinomial option pricing

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dc.contributor.advisorPopovici, Emanuel
dc.contributor.advisorHanzon, Bernard
dc.contributor.authorO'Mahony, Aidan T.
dc.contributor.funderDell Technologies
dc.contributor.funderIntel Corporation
dc.date.accessioned2025-05-12T14:58:02Z
dc.date.available2025-05-12T14:58:02Z
dc.date.issued2025
dc.date.submitted2025
dc.description.abstractIn financial engineering, the speed and accuracy of option pricing models are critical for decision-making in fast-paced markets. This thesis explores the application of Field Programmable Gate Arrays (FPGAs) to accelerate the computation of option pricing models, specifically focusing on Pascal's Simplex method. Pascal's Simplex is chosen for its scalability in handling multi-asset options, which becomes increasingly vital as the complexity of financial instruments grows. FPGAs are selected due to their ability to execute parallel computations efficiently, offering significant speedups compared to traditional CPU-based systems while maintaining computational accuracy. This work introduces a novel FPGA architecture for Pascal's Simplex-based multinomial option pricing and presents a detailed comparative analysis of FPGA and CPU implementations. The results show that FPGAs provide substantial performance improvements in terms of speed and scalability, both for European and American style options, especially for pricing models with a high number of underlying assets. This research demonstrates that FPGAs can offer up to 43 times speedup over traditional methods while preserving accuracy, making them a powerful tool for real-time financial analytics. Furthermore, the architecture supports generalization for a varying number of assets underlying each option, and implementations on state of the art hardware are presented for up to 7 assets. By introducing a novel FPGA architecture for Pascal's Simplex-based multinomial option pricing and demonstrating up to 43 times speedup over traditional CPU methods while preserving accuracy, this thesis significantly contributes to advancing real-time financial analytics for complex multi-asset options.en
dc.description.statusNot peer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationO'Mahony, A. T. 2025. Exploring Field Programmable Gate Array Architectures for Pascal's Simplex-based multinomial option pricing. PhD Thesis, University College Cork.
dc.identifier.endpage206
dc.identifier.urihttps://hdl.handle.net/10468/17422
dc.language.isoenen
dc.publisherUniversity College Corken
dc.rights© 2025, Aidan Timothy O'Mahony.
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectFintech accelerators
dc.subjectField-Programmable Gate Arrays (FPGAs)
dc.subjectMulti asset pricing
dc.subjectDigital systems
dc.titleExploring Field Programmable Gate Array Architectures for Pascal's Simplex-based multinomial option pricing
dc.typeDoctoral thesisen
dc.type.qualificationlevelDoctoral
dc.type.qualificationnamePhD - Doctor of Philosophyen
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