Research  Teaching  Miscellaneous
David Itkin
PhD Candidate
Department of Mathematical Sciences,
Carnegie Mellon University
Pittsburgh, PA 15213
Office: Wean Hall 7211
email: ditkin@andrew.cmu.edu
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.



Research
Publications
and Preprints
 D.Itkin, M.Larsson.
Open markets and hybrid Jacobi processes. [arXiv].
 D.Itkin, M.Larsson.
On a class of rankbased continuous semimartingales. [arXiv]
 D.Itkin, M.Larsson.
Robust asymptotic growth in stochastic portfolio theory under
longonly constraints. Mathematical Finance, 2021. [Article, arXiv]
 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]
Presentations
* Held virtually due to the
COVID19 pandemic.
 SPAAM Seminar, University of Warwick,
December 2021 (Virtual*) [Slides]
 2nd Waterloo Student Conference in Statistics,
Actuarial Science and Finance, November 2021 (Virtual*) [Slides]
 5th Eastern Conference on Mathematical
Finance, October 2021 (Virtual*) [Slides]
 Two Sigma PhD Symposium, July 2021 (Virtual*)
[Slides]
 INTECH Meeting, July 2021 (Virtual*) [Slides]
 Financial Mathematics Seminar, Princeton
University, March
2021(Virtual*) [Slides]
 Financial Math/Probability Seminar, Carnegie
Mellon University, March 2021 (Virtual*)
 SIAM Graduate Student Mini Conference, Carnegie
Mellon University, Oct 2020 (Virtual*)
 SIAM Annual Meeting (AN20), July 2020 (Virtual*, Poster
Presentation)
Teaching
Teaching Assistant
* Denotes course in
the Masters of Computational Finance (MSCF) program at CMU.
 46915 Advanced Derivative Models* (Fall 2020)
 46944 Stochastic Calculus for Finance I*
(Spring 2019,
2020,
2021, Fall 2017)
 46950 Numerical Methods* (Fall 2019)
 46956 Fixed Income* (Fall 2018)
 21217 Concepts of Mathematics (Spring 2018)
Undergraduate Student Supervision
I spent the summer of 2019 cosupervising two groups
of undergraduate students with Professor Bill
Hrusa
 "BlackScholes ODE: Perpetual Options with
Variable Volatility". Undergraduate Students: Lily Chen,
Brian Hu, Albert Liang, Jin Wang, Yue Wu.
 "American Style Options with Negative
Interest Rates". Undergraduate Students: Elena Chen,
Lucy Chen, Yeolanda Huang, Karl Xiao.