IEMS Professor Vadim Linetsky's Work Referenced on Showtime's Billions

The DerivativeThe Derivative

Vadim Linetsky is named in the "Chickentown" episode of Showtime's Billions (Season 4, Episode 3). A subplot that runs the length of the episode involves two rival Wall Street hedge-fund firms, one led by a mathematical genius, who develops a financial derivative as “an homage to Vadim Linetsky.” The rival firm steals the math by taking a photo with a spy camera through privacy glass. Then, the rival firm studies Vadim’s math for a couple days, until they finally realizes the twist: The genius knew they were being watched and inserted a mistake in Vadim’s math, on purpose, as a message. The episode's writer, Lenore Zion, said "I was writing a character who is supposed to be a math genius who runs a hedge fund that employs many quants. I wanted to pay respect to the actual genius that allows for those people to do what they do."

 

The paper in question is:

 

Vadim Linetsky, "The path integral approach to financial modeling and options pricing," Computational Economics 11, 129-163, 1997.

 

This was Vadim’s first foray into mathematical finance from theoretical physics. Vadim says, "When formal financial engineering courses where uncommon, some Wall Street firms used that paper as part of their reading list to train newly hired physicists to turn them into finance quants.” The equations in the show are faithfully reproduced from his 1997 paper. It’s a derivation of the solution for the geometric average price of an Asian-style option using path integrals.