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David Itkin

PhD Candidate
Department of Mathematical Sciences,

Carnegie Mellon University
Pittsburgh, PA 15213
Office: Wean Hall 7211

About Me

I am a 4th year PhD student in the Mathematical Sciences Department at Carnegie Mellon University (CMU) working with Martin Larsson. Prior to coming to CMU I completed my undergraduate degree in financial modelling and mathematics from the University of Western Ontario. Broadly speaking my research interests are in mathematical finance and probability theory. Currently I am working on problems related to Stochastic Portfolio Theory, Knightian uncertainty, particle systems and ergodic properties of diffusions.

You can find my CV here.

Publications and Preprints
  1. D.Itkin, M.Larsson. On a class of rank-based continuous semimartingales. Submitted. [Preprint]
  2. D.Itkin, M.Larsson. Robust asymptotic growth in stochastic portfolio theory under long-only constraints. Accepted to Mathematical Finance. [Preprint]
  3. T.Barron, D.Itkin. Toeplitz operators with discontinuous symbols on the sphere. 9 pages. In "Lie theory and its applications in physics", Springer Proceedings in Mathematics and Statistics 191, Springer, 2016. [Paper]

Held virtually due to the COVID-19 pandemic.

  1. Financial Mathematics Seminar, Princeton University, March 2021(Virtual*) [Slides]
  2. Financial Math/Probability Seminar, Carnegie Mellon University, March 2021 (Virtual*)
  3. SIAM Graduate Student Mini Conference, Carnegie Mellon University, Oct 2020 (Virtual*)
  4. SIAM Annual Meeting (AN20), July 2020 (Virtual*, Poster Presentation)


Teaching Assistant
* Denotes course in the Masters of Computational Finance (MSCF) program at CMU.

Undergraduate Student Supervision
I spent the summer of 2019 co-supervising two groups of undergraduate students with Professor Bill Hrusa