New LLMs are proving to be surprisingly good quants

In late January, Mark Higgins, the retired co-founder of fintech company Beacon Platforms and former co-head of quant research at JP Morgan, set out to solve an options-pricing problem that had bugged him for much of his career.

The nature of the problem—which concerns how correlations between currency spot prices and volatility behave differently from how they’re usually modeled—matters less here than how Higgins solved it. He used a combination of two large language models.

I’m good at this