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David Itkin's research focuses on tackling problems in mathematical finance and stochastic analysis, particularly the high-dimensional nature of portfolio selection and the inherent challenges posed by the large number of securities available for investment. His work contributes to the understanding of open markets, where investment opportunities change over time, and he delves into stochastic portfolio theory to promote robust financial practices and price stability. David's interests are reflected in the probabilistic tools employed throughout his research, including stochastic differential equations, ergodic theory, and stochastic control, complemented by rank-based analysis. He holds a PhD in Mathematics from Carnegie Mellon University. Prior to joining the London School of Economics, he served as a Chapman Fellow at Imperial College London.
London School of Economics and Political Science • London, England
Assists students in learning mathematical finance and stochastic analysis, focusing on high-dimensional problems in portfolio selection.
Standard English requirement applies to most programs in Geography, Anthropology, Sociology, and Media.