About
David Itkin’s research is on mathematical finance and related areas of stochastic analysis. Within mathematical finance, his central focus is on portfolio selection in markets with frictions, high dimensionality and/or model uncertainty. His work has contributed to stochastic portfolio theory, the study of open markets (markets where investable assets change over time), robust growth maximisation in ergodic markets, and parsimonious methods for multi-asset price impact models.
To tackle these problems, David uses and develops cutting-edge mathematical, statistical and optimisation tools spanning partial differential equations, the calculus of variations, stochastic optimal control, and numerical and empirical methods. On the stochastic analysis side, his interests include particle systems with rank-based interactions and reflected stochastic differential equations.
David holds a PhD in Mathematical Sciences from Carnegie Mellon University. Prior to joining LSE, he was a Chapman Fellow at Imperial College London. He was named Risk.net’s 2026 Rising Star in Quant Finance for his work on price impact.