While in prison she lost everything. "I came out penniless, and nothing happened to him. The hypocrisy there is huge."
Davis has already set up a website—complete with sexy photos—and she's filed with the New York City Campaign Finance Board.
Now the former madam needs to collect 3,750 signatures to qualify for the ballot. She collected plenty of them three years ago when she ran for governor as a protest candidate. Currently, her campaign calendar appears a little empty. Expect that to change.
Finally, Davis says she can close the city's deficit by legalizing pot, which she estimates would bring in $1.8 billion in new taxes and save $390 million in enforcement costs. No word yet on whether she also wants to legalize her old profession, and if it too could give the Big Apple a boost.
—By CNBC's Jane Wells; Follow her on Twitter: @janewells