From Black Scholes to Black Holes By Revant Nayar, CTO, FMI Technologies

Speaker: Revant Nayar, FMI Technologies LLC
Venue: Global Big Data Conference 2020

Title: From Black Scholes to Black Holes

Abstract: In the first part of this talk, we establish that Lie Groups can be used to constrain density functions used options pricing, corresponding to familiar models and generalising them. This uses techniques from non-relativistic CFTs. In the second part, we construct higher dimensional ‘gravity’ duals using the AdS/CFT machinery and point to the leverage one can gain from these duals in terms of capturing dynamics that is difficult to see in the original theory.

Date: March 17, 2022

FMI Technologies LLC

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