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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 5th 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 stochastic analysis. Currently I am working on problems related to Stochastic Portfolio Theory, robust finance, particle systems and ergodic properties of diffusions.

You can find my CV here.

Publications and Preprints
  1. D.Itkin, M.Larsson. Open markets and hybrid Jacobi processes. [arXiv].
  2. D.Itkin, M.Larsson. On a class of rank-based continuous semimartingales. [arXiv]
  3. D.Itkin, M.Larsson. Robust asymptotic growth in stochastic portfolio theory under long-only constraints. Mathematical Finance, 2021. [Article, arXiv]
  4. 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. [Article]

Held virtually due to the COVID-19 pandemic.

  1. SPAAM Seminar, University of Warwick, December 2021 (Virtual*) [Slides]
  2. 2nd Waterloo Student Conference in Statistics, Actuarial Science and Finance, November 2021 (Virtual*) [Slides]
  3. 5th Eastern Conference on Mathematical Finance, October 2021 (Virtual*) [Slides]
  4. Two Sigma PhD Symposium, July 2021 (Virtual*) [Slides]
  5. INTECH Meeting, July 2021 (Virtual*) [Slides]
  6. Financial Mathematics Seminar, Princeton University, March 2021(Virtual*) [Slides]
  7. Financial Math/Probability Seminar, Carnegie Mellon University, March 2021 (Virtual*)
  8. SIAM Graduate Student Mini Conference, Carnegie Mellon University, Oct 2020 (Virtual*)
  9. 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