naa a22 4500 510808425 CHVBK 20180411083429.0 cr unu---uuuuu 180411e20130601xx s 000 0 eng 10.1007/s11579-012-0080-7 doi (NATIONALLICENCE)springer-10.1007/s11579-012-0080-7 Nguyen Huu Adrien CEREMADE, Université Paris-Dauphine, Paris, France aut A note on super-hedging for investor-producers [Elektronische Daten] [Adrien Nguyen Huu] We study the situation of an agent who can trade on a financial market and can also transform some assets into others by means of a production system, in order to price and hedge derivatives on produced goods. This framework is motivated by the case of an electricity producer who wants to hedge a position on the electricity spot price and can trade commodities which are inputs for his system. This extends the essential results of Bouchard and Nguyen (Math Finance, 2011) to continuous time markets. We introduce the generic concept of conditional sure profit along the idea of the no sure profit condition of Rásonyi (Optimality and risk-modern trends in mathematical finance: the Kabanov Fetschrift, 2009). The condition allows one to provide a closedness property for the set of super-hedgeable claims in a very general financial setting. Using standard separation arguments, we then deduce a dual characterization of the latter and provide an application to power futures pricing. Springer-Verlag, 2012 Arbitrage pricing theory nationallicence Markets with proportional transaction costs nationallicence Non-linear returns nationallicence Super replication theorem nationallicence Electricity markets nationallicence Energy derivatives nationallicence Mathematics and Financial Economics Springer-Verlag 7/3(2013-06-01), 341-357 1862-9679 7:3<341 2013 7 11579 https://doi.org/10.1007/s11579-012-0080-7 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-012-0080-7 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Nguyen Huu Adrien CEREMADE, Université Paris-Dauphine, Paris, France aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer-Verlag 7/3(2013-06-01), 341-357 1862-9679 7:3<341 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer