Speaker: Prof Jan Obloj (Oxford) Title: Robust finance. Part I -- proof-of-concept applications using historical time series and market option prices Abstract: In this talk I introduce briefly the robust paradigm which strives to interpolate the modelling spectrum: from agnostic model-free to classical model-specific. It offers methods to walk the spectrum and quantify the impact of making assumptions and/or using market data. I explain briefly how classical fundamental notions and theorems in quantitative finance extend to the robust setting -- I plan to cover this in more detail in "Part II -- fundamental theorems". In this Part I, I mostly focus on simple concrete examples. I use vanilla option prices, together with agent-prescribed bounds on key market characteristics, to drive the interval of no-arbitrage prices and the associated hedging strategies. The setting can be seen as a constrained variant of the classical optimal transportation problem and comes with a natural pricing-hedging duality. I discuss numerical methods based on discretisation and LP implementation and on a deep NN optimisation. I look at ways to coherently combine option prices data with past time series data, leading to a dynamic robust risk estimation. I explain how such non-parametric statistical estimators of key quantities (e.g., superhedging prices, 10-days V@R) superimposed with option prices can be treated as information signals. Based on joint works with Stephan Eckstein, Gaoyue Guo, Tongseok Lim and Johannes Wiesel. http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html