I am currently a Chapman Fellow in the Mathematics Department at Imperial College London. Prior to joining Imperial I completed my PhD in Mathematical Sciences at Carnegie Mellon University under the supervision of Prof. Martin Larsson in May 2022.
My research interests are in mathematical finance and related areas of stochastic analysis. Currently, I am working on problems in robust finance, stochastic portfolio theory and particle systems with rank-based interaction.
- X.Brokmann, D.Itkin, J.Muhle-Karbe, P.Schmidt. Tackling Nonlinear Price Impact with Linear Strategies [SSRN]
- D.Itkin. Generalized Rank Dirichlet Distributions. [arXiv]
- D.Itkin, B.Koch, M.Larsson, J.Teichmann. Ergodic robust maximization of asymptotic growth under stochastic volatility. [arXiv]
- D.Itkin, M.Larsson. Open markets and hybrid Jacobi processes. [arXiv]
- D.Itkin, M.Larsson. On a class of rank-based continuous semimartingales. [arXiv]
- D.Itkin, M.Larsson. Robust asymptotic growth in stochastic portfolio theory under long-only 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]