David Itkin

About Me 

As of Fall 2024, I am an Assistant Professor in the Probability in Finance and Insurance group within the Statistics Department at LSE. I am an affiliate of the Data Science Institute (DSI) at the LSE and am an Honorary Lecturer at Imperial College London. Prior to that, from 2022-2024, I was a Chapman Fellow in the Mathematics Department at Imperial College London. I obtained a PhD in Mathematics from Carnegie Mellon University in 2022.

My research interests are in Mathematical Finance and related areas of Probability and Stochastic Analysis. I work on problems in Stochastic Portfolio Theory, Robust Finance and Market Microstructure using theoretical, empirical and numerical tools from Stochastic Control, Ergodic Theory, PDEs, Reflected Stochastic Differential Equations, etc..

Publications/Preprints

1. Stochastic portfolio theory with price impact, 2025. [Arxiv]

2. Efficient trading with price impact (with X.Brokmann, L. Gonon, G. He, J.Muhle-Karbe), 2024. [SSRN]

3. Calibrated rank volatility stabilized models for large equity markets (with M. Larsson), 2024. [Arxiv]

4. Generalized Rank Dirichlet distributions. Statistics & Probability Letters, 2024. [Journal, Arxiv]

5. Tackling nonlinear price impact with linear strategies (with X.Brokmann, J.Muhle-Karbe, P. Schmidt).  Mathematical Finance, 2025. [Article, SSRN]

6. Ergodic robust maximization of asymptotic growth with stochastic factor processes  (with B. Koch, M. Larsson, J.Teichmann), Forthcoming in Finance and Stochastics, 2025. [Arxiv]

7. Open markets and hybrid Jacobi processes (with M. Larsson). Annals of Applied Probability, 2024. [Journal, Arxiv]

8. On a class of rank-based continuous semimartingales (with M. Larsson). [Arxiv]

9. Robust asymptotic growth in stochastic portfolio theory under long-only constraints (with M. Larsson). Mathematical Finance, 2022. [Journal, Arxiv]

10. Toeplitz operators with discontinuous symbols on the sphere (with T. Barron). Lie Theory and its Application in Physics, 2016. [Article]

Upcoming/Recent Talks

• Birs Workshop on Bridging Finance and Theory in Practice, Hangzhou, August 2025

• SIAM FME, Miami, July 2025

• Leaning on random towers workshop, Pisa, May 2025

• 2nd ETH-Imperial-HK workshop on quantitative finance, April, 2025

• Oxford Mathematical and Computational Finance seminar, February 2025

• Imperial F&S Seminar, February 2025

• UCLA Financial Mathematics Seminar (online), November 2024