David Itkin

About Me 

Since August 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 I was a Chapman Fellow in the Mathematics Department at Imperial College London. I hold a PhD in Mathematical Sciences from Carnegie Mellon University.

My research interests are in Mathematical Finance/Financial Engineering and related areas of Probability theory. A theme in my research is uncovering tractable and interpretable structures in high-dimensional stochastic systems. I mostly work on problems in Stochastic Portfolio Theory, Robust Finance and Price Impact using theoretical, empirical and numerical tools from Stochastic Control, Ergodic Theory, PDEs, Reflected Stochastic Differential Equations, etc..

News: I have been awarded the 2026 Rising Star in Quant Finance Award.

Publications/Preprints

1. Consumption-investment problem in rank-based models, 2025. [Arxiv]

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

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

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

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

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

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

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

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

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

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

Upcoming/Recent Talks

• Seminar in Math Finance and Probability, Vienna, May 2026

• Math Finance Seminar, Columbia University, Feb 2026

• Volatility & Liquidity Workshop, Pavia, Jan 2026 (Discussant)

• 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