Financial Engineering Seminar Series: Using an AI Quant Research Assistant to Develop a New Exotic Pricing Model

Name: Financial Engineering Seminar Series: Using an AI Quant Research Assistant to Develop a New Exotic Pricing Model
Start: 2026-04-09T17:00:00.000-04:00
End: 2026-04-09T18:00:00.000-04:00
Location: Burchard 104

Colorful candlestick and line graphs show financial market trends on a dark background. The data visualization highlights price fluctuations and market patterns.

Abstract

The current generation of Al tools are remarkably useful for quants researching new models. This talk describes a new model that extends the Heston stochastic volatility model to include an important dynamic in the FX markets: the correlation between implied volatility skew and spot. That skew/spot correlation is critical for pricing barrier options. We'll talk through the motivation for the model and its results. This model was developed with the assistance of generative AI tools, and those tools dramatically improved the research and experimentation process. We will discuss how we used those tools and why they were so powerful.

Biography

Mark Higgins worked as a derivatives quant at Goldman Sachs and at JPMorgan Chase, where he co-headed the Quantitative Research group for the Investment Bank. He then co-founded Beacon Platform, a capital markets fintech which builds trading and risk management systems. Dr Higgins left Beacon when it was acquired in 2025 and now does independent research.

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