LAUTIER Delphine

Commodities play an essential role in our economies, and futures markets play a central role in determining their prices. The purpose of this thesis is to contribute to our understanding of the behavior of commodity prices, and to produce forecasts based on recent econometric methods. For forecasting, we focus on two different topics for three commodities (oil, wheat, and gold): forecasting prices at a monthly horizon from a large database, and forecasting volatility at a daily horizon using a recent variable selection procedure for conditional volatility. For the explanation, we focus on informational efficiency and information discovery in two different settings: predictive regressions using data on different theories, and an analysis of the effect of changes in open positions of different groups of traders on volatility.

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To what extent are futures prices interconnected across the maturity curve? Where in the term structure do price shocks originate, and which maturities do they reach? We propose a new approach, based on information theory, to study these cross-maturity linkages and the extent to which connectedness is impacted by market events. We introduce the concepts of backward and forward information flows, and propose a novel type of directed graph, to investigate the propagation of price shocks across the WTI term structure. Using daily data, we show that the mutual information shared by contracts with different maturities increases substantially starting in 2004, falls back sharply in 2011-2014, and recovers thereafter. Our findings point to a puzzling re-segmentation by maturity of the WTI market in 2012-2014. We document that, on average, short-dated futures emit more information than do backdated contracts. Importantly, however, we also show that significant amounts of information flow backwards along the maturity curve - almost always from intermediate maturities, but at times even from far-dated contracts. These backward flows are especially strong and far-reaching amid the 2007-2008 oil price boom/bust.

We give new insights into the dynamic behavior of commodity prices with an infinite horizon rational expectations equilibrium model for spot and futures commodity prices. Numerical simulations of the model emphasize the heterogeneity that exists in the behavior of commodity prices by showing the link between the physical characteristics of a market and some stylized facts of commodity futures prices. They show the impact of storage costs on both the variability of the basis and on the Samuelson effect. Finally, the simulations of the model show that an increase in the speculative activity on commodity futures markets has an overall positive effect on risk premia. However, not all of the agents benefit from it.

The thesis project consists in studying the heterogeneity of information and beliefs among traders in commodity markets to tackle the puzzles of volatility and risk premium in these markets. The first step was to introduce information asymmetry into a storage model. It was found that the market is efficient and that a random informational effect can be distinguished from a deterministic physical effect. The second step is to empirically estimate the parameters of a modified version of the theoretical model mentioned above. The assumption of economic rationality is relaxed. Chartists" are introduced who follow the courses. The aim of this paper is to estimate their influence on price formation. The market chosen for the empirical study is the American Henry Hub natural gas market. The third step is a model where rational and boundedly rational agents coexist in a commodity market. This last chapter shows how traders following the trend in the futures market can destabilize the physical market.

We propose a micro-founded equilibrium model to examine the interactions between the physical and the derivative markets of a commodity. This model provides a unifying framework for the hedging pressure and storage theories. The model shows a variety of behaviors at equilibrium that can be used to analyze price relations for any commodity. Further, through a comparative statics analysis, we precisely identify the losers and winners in the financialization of the commodity markets. Therefore, this paper clarifies the political economy of regulatory issues, like speculators’ influence on prices.

After having shown the existence of an inflationary impact of first generation biofuels on agricultural prices via a strengthening of the link between agricultural and oil prices, we highlight the absence of a real positive effect of their expansion on emerging and developing economies. Moreover, the rise in agricultural prices has forced some countries importing these agricultural products to implement policies to protect their domestic markets. These results prove that it is imperative to develop biofuel production that does not require food feedstocks. However, we highlight the preference of the French population for these second generation biofuels, especially for a production from agricultural residues. Finally, we establish - by taking the example of an American market - that the implementation of biofuel derivative markets in Europe could allow manufacturers to effectively protect themselves against price volatility.

Extreme events have a significant impact on return distributions and investment decisions. However, the role of event risks is underestimated in popular approaches to financial decision making. This thesis includes event risks in investment decisions to improve the overall optimality of investments. We examine event risks in two different but consistent financial settings: portfolio selection and corporate finance. In portfolio selection, we focus on incorporating higher-order information to capture the impact of event risks on portfolio construction. Higher-order extensions are implemented on two main portfolio optimization methods: the classical mean-variance optimization and CAPM framework, and the stochastic dominance approach. We find that the inclusion of higher order information improves the overall optimality of the portfolio given the presence of event risks. In one particular case, we combine traditional applications of mean-variance optimization and stochastic dominance analysis to examine the efficiency of the DJIA index. We find that DJIA is effective as a performance benchmark. In the area of corporate finance, we primarily identified M&A name changes among the S&P 500 Index and examined how name change events affect performance patterns for acquirers and targets. In this firm study, we show that name changes significantly affect return dynamics and that the abnormal return difference between name change events and no name change events is economically and statistically significant. Overall, our studies show that including event risks in decision-making processes provides significant benefits to asset allocation optimization.

This thesis aims to analyze the systemic risk on commodity futures markets. Indeed, several research works highlight the importance of these futures in the determination of the physical price of commodities. Their incorporation into traditional finance as a diversifying asset has led to a similar price evolution to that of various financial assets since about 2004. The question that motivated this thesis was therefore to quantify this systemic risk (since it affects commodities, which are directly involved in the real economy), to see precisely the means of transmission (which markets affect which other markets) and finally to allow for an evaluation of the consequences, for example, based on scenarios (stress tests). It therefore makes it possible to develop market surveillance tools and could therefore contribute to the regulation of these markets.

We apply the concepts of mutual information and information flows and we built directed graphs to investigate empirically the propagation of price fluctuations across a futures term structure. We focus on price relationships for North American crude oil futures because this key market experienced several structural shocks between 2000 and 2014: financialization (starting in 2003), infrastructure limitations (in 2008-2011) and regulatory changes (in 2012-2014). Wefind large variations over time in the amount of information shared by contracts with different maturities. The mutual information increased substantially starting in 2004 but fell back sharply in 2012-2014. In the crude oil space, our findings point to a possible re-segmentation of the futures market by maturity in 2012-2014. This raises questions about the causes of market segmentation. In addition, although on average short-dated contracts (up to 6 months) emit more information than backdated ones, a dynamic analysis reveals that, after 2012, similar amounts of information flow backward as flow forward along the futures maturity curve. Moreover, the directions of the transfers between pairs of maturities become drastically different. This has implications for the Samuelson effect.

To what extent are futures prices interconnected across the maturity curve? Where in the term structure do price shocks originate, and which maturities do they reach? We propose an approach based on information theory to study these cross-maturity linkages and the extent to which connectedness is impacted by market events. We introduce the concepts of backward and forward information flows, and a novel type of directed graph, to investigate the propagation of price shocks across the WTI term structure. Using daily data, we show that the mutual information shared by contracts with different maturities increases substantially starting in 2004, falls back sharply in 2011-2014, and recovers thereafter. Our findings point to a puzzling re-segmentation by maturity of the WTI market in 2012-2014. We document that, on average, short-dated futures emit more information than do backdated contracts. Importantly, however, we also show that significant amounts of information flow backwards along the maturity curve -- almost always from intermediate maturities, but at times even from far-dated contracts. These backward flows are especially strong and far-reaching amid the 2007-2008 oil price boom/bust.

Periods of intense risk aversion often cause significant distortions in market prices and substantial losses for investors. Each episode of financial crisis shows that the movements of generalized sales on the markets have very negative consequences on the real economy. Thus, exploring the risk aversion phenomenon and the dynamics of the propagation of panic sentiment in financial markets can help to understand these periods of high volatility.In this theme report, we explore different dimensions of the risk aversion phenomenon, in the context of European sovereign bond portfolios. The yield on government bonds, quoted by traders, is thought to reflect, among other things, the risk that the Treasury will default on its debt before the bond matures. This is the sovereign risk. Financial crises usually cause an important movement of yields to higher levels. This type of correction reflects an increase in sovereign risk, and necessarily implies an increase in the cost of financing for national Treasuries. One objective of this report is therefore to provide explicit details to Treasuries on how bond yields are expected to deteriorate in periods of risk aversion.Chapter I explores sovereign risk in the context of a probabilistic model involving heavy-tailed distributions, as well as the GAS method that allows capturing the dynamics of volatility. The fit obtained with the Generalized Hyperbolic Distributions is robust, and the results suggest that our approach is particularly effective during periods marked by erratic volatility. In order to simplify, we describe the implementation of a timeless volatility estimator, meant to reflect the intrinsic volatility of each bond. This estimator suggests that the volatility grows quadratically when it is expressed as a function of the distribution function of the yield variations. In a second step we explore a bivariate version of the model. The calibration is robust and highlights the correlations between each bond. As a general observation, our analysis confirms that tails distributions are quite appropriate for the exploration of market prices during a financial crisis.Chapter II explores different ways to exploit our probabilistic model. In order to identify the dynamics of contagion between sovereign bonds, we analyze the expected market response to a series of financial shocks. We consider an important level of granularity in terms of the severity of the underlying shock, and this allows us to identify empirical laws that are assumed to generalize the behavior of market action when risk aversion increases. We then incorporate our volatility and market action estimators to some recognized portfolio optimization approaches and we note an improvement in portfolio resilience in this new version. Finally, we develop a new portfolio optimization methodology based on the mean-reversion principle.Chapter III is dedicated to the pricing of interest rate derivatives. We now consider that risk aversion causes the emergence of discontinuities in market prices, which we simulate through jump processes. Our model focuses on Hawkes processes which have the advantage of capturing the presence of self-excitation in volatility. We develop a calibration procedure that differs from the usual procedures. The implied volatility results are consistent with the realized volatility, and suggest that the risk premium coefficients have been successfully estimated.

This thesis studies the role played by financial investors in commodity markets, known as commodity financialization. It consists of a theoretical and an empirical part. The research aims to study the participation of investors, holding equity portfolios, in commodity futures markets, for diversification reasons. Moreover, this diversification can be achieved by investing in a basket of commodities. The first chapter analyzes theoretically the interaction between the commodity and equity markets. The second chapter empirically studies the impact of financial investors' choice on the risk premium of commodity futures contracts. It focuses on three commodities: crude oil (WTI), heating oil and natural gas. The third chapter theoretically studies the integration of two commodity markets. We clarify some considerations regarding the effect of financialization on which the existing literature remains hesitant. We demonstrate the power of influence that investors have on the commodity market. However, this depends on the nature of the investor's position in the futures market. In general, financialization leads to higher spot prices, higher futures prices and higher inventory levels. We also show that investors represent a transmission channel between commodity markets. Their extended effects are limited to the cross-correlation of commodity markets. Finally, we show that equity market returns became a determinant of the futures risk premium after the 2008 financial crisis. This effect of equity returns is indifferent between short and long maturities.

Commodity futures markets have existed for centuries. However, since the beginning of the 21st century, the parallel development of financialization and futures markets on a non-storable commodity (electricity) has disrupted their functioning.The three essays in this thesis study theoretically and empirically the commodity futures markets under different operating conditions.The first essay is an empirical study that shows the existence of the Samuelson effect on electricity futures markets. The second essay is a model that shows how the dynamic price behavior of a storable commodity in a futures market segmented from the rest of the economy is affected by its physical characteristics, and in particular by the cost of storage.Finally, the third essay is a model that shows that financialization modifies the risk-sharing function of commodity futures markets, regardless of the maturity involved.

This article proposes an empirical study of the Samuelson effect in electricity markets. Our motivations are twofold. First, although the literature largely assesses the decreasing pattern in the volatilities along the price curve in commodity markets, it has not extensively tested the presence of such a dynamic feature in electricity prices. Second, the analysis of a non-storable commodity enriches the literature on the behavior of commodity prices. Indeed, it has been sometimes asserted that the Samuelson effect results from the presence of inventories. We examine the four most important electricity futures markets worldwide for the period from 2008 to 2014: the German, Nordic, Australian, and US markets. We also use the American crude oil market as a benchmark for a storable commodity negotiated on a mature futures market. Our analysis has two steps: i) in addition to the traditional tests, we propose and test a new empirical implication of the Samuelson effect: price shocks should spread from the physical market to the paper market, and not the reverse. ii) based on the concept of “indirect storability”, we investigate the link between the Samuelson effect and the storability of the commodity. We find evidence of a Samuelson effect in all of the electricity markets and show that storage is not a necessary condition for such an effect to appear. These results should be taken into account for the understanding of the dynamic behavior of commodity prices, for the valuation of electricity assets, and for hedging operations.

The central objective of the thesis is to study various measures of model risk, expressed in monetary terms, that can be consistently applied to a heterogeneous collection of financial products. The first two chapters deal with this problem, first from a theoretical point of view, and then by conducting an empirical study focused on the natural gas market. The third chapter focuses on a theoretical study of the so-called basis risk. In the first chapter, we focused on the valuation of complex financial products, taking into account the model risk and the availability in the market of basic derivatives, also called vanilla. In particular, we have pursued the optimal transport approach (known in the literature) for the computation of price bounds and model-risk robust over- (under-) hedging strategies. In particular, we revive a construction of martingale probabilities under which the price of an exotic option reaches the so-called price bounds, focusing on the case of positive martingales. We also highlight significant symmetry properties in the study of this problem. In the second chapter, we approach the model risk problem from an empirical point of view, by studying the optimal management of a unit of natural gas and quantifying the effect of this risk on its optimal value. In this study, the valuation of the storage unit is based on the spot price, while its hedging is done with forward contracts. As mentioned before, the third chapter focuses on the basis risk, which arises when one wants to hedge a contingent asset based on an unprocessed asset (e.g. temperature) using a portfolio of processed assets in the market. A hedging criterion in this context is that of variance minimization, which is closely related to the so-called Föllmer-Schweizer decomposition. This decomposition can be deduced from the solution of a certain stochastic backward differential equation (SDE) directed by a possibly jumping martingale. When this martingale is a standard Brownian motion, the SRDEs are strongly associated with semilinear parabolic PDEs. In the general case we formulate a deterministic problem that extends the mentioned PDEs. We apply this approach to the important special case of the Föllmer-Schweizer decomposition, for which we give explicit expressions for the payoff decomposition of an option when the underlyings are exponential of additive processes.

We examine the impact of two financial crises on commodity derivative markets: the subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" to the commodity markets because they occurred in the financial sphere. Still, because commodity markets are now highly integrated with each other and with other financial markets, such events could have had an impact. In order to fully comprehend this possible impact, we rely on tools inspired by the graph theory that allow for the study of large databases. We examine the daily price fluctuations recorded in 14 derivative markets from 2000 to 2009 in three dimensions: the observation time, the space dimension – the same underlying asset can be traded simultaneously in two different places – and the maturity of the transactions. We perform an event study in which we first focus on the efficiency of the price shock’s transmission to the commodity markets during the crises. Then we concentrate on whether the paths of shock transmission are modified. Finally, relying on the measure proposed by Bonacich (1987) for social networks, we focus on whether the centrality of the price system changes.

We propose a simple and yet comprehensive equilibrium model of the interaction between the physical and the derivative markets of a commodity. To represent all basic economic functions, we take three types of agents: industrial processors, inventory holders and speculators. Only the two first of them operate in the physical market. All of them, however, may initiate a position in the paper market, for hedging and/or speculation purposes. First, we give the necessary and sufficient conditions on the fundamentals of this economy for a rational expectations equilibrium to exist and we show that it is unique. Second, we propose a generalized framework for the analysis of price relationships: the model exhibits a surprising variety of behaviors at equilibrium which connects the normal backwardation theory and the storage theory. Third, the model addresses the regulatory issues of speculators’ presence in the market and their influence on prices.

Relying on conditional entropy and on the notion of information transfer, we investigate price relationships in the most important commodity futures market: the American crude oil market. We first show that the information shared by futures contracts with different delivery dates increases during the period under scrutiny (i.e. 2000-2011). This is especially true for intermediate maturities. When focusing on information transfer, on average on the whole period, it appears that short-term maturities emit more information than long-term ones. This is consistent with the normal functioning of a futures market. A dynamic analysis however reveals that the relative importance of information flows emerging in the far end of the curve (for long-term maturities) arises as integration progresses in the crude oil market. The transmission of shocks from the paper to the physical markets is thus facilitated. Last but not least, the direction of prices moves becomes less stable as time goes on. On the theoretical point of view, these findings raise questions about the segmentation theory and the Samuelson effect.

Relying on conditional entropy and on the notion of information transfer, we investigate price relationships in the most important commodity futures market: the American crude oil market. We first show that the information shared by futures contracts with different delivery dates increases during the period under scrutiny (i.e. 2000-2011). This is especially true for intermediate maturities. When focusing on information transfer, on average on the whole period, it appears that short-term maturities emit more information than long-term ones. This is consistent with the normal functioning of a futures market. A dynamic analysis however reveals that the relative importance of information flows emerging in the far end of the curve (for long-term maturities) arises as integration progresses in the crude oil market. The transmission of shocks from the paper to the physical markets is thus facilitated. Last but not least, the direction of prices moves becomes less stable as time goes on. On the theoretical point of view, these findings raise questions about the segmentation theory and the Samuelson effect.

We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated, between themselves and with other financial markets, such events could have had an impact. In order to fully comprehend this possible impact, we examine prices fluctuations in three dimensions: the observation time, the space dimension – the same underlying asset can be traded simultaneously in two different places – and the maturity of the transactions. We first focus on the efficiency of the shocks propagation: does it improve during crises? Then we concentrate on the paths of shocks propagation: are they modified? How? Finally we focus on the centrality of the prices system: does it change? Does it increase?.

We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated, between themselves and with other financial markets, such events could have had an impact. In order to fully comprehend this possible impact, we examine prices fluctuations in three dimensions: the observation time, the space dimension – the same underlying asset can be traded simultaneously in two different places – and the maturity of the transactions. We first focus on the efficiency of the shocks propagation: does it improve during crises? Then we concentrate on the paths of shocks propagation: are they modified? How? Finally we focus on the centrality of the prices system: does it change? Does it increase?.

It is common to assert, in the literature on commodity derivative markets, that the behavior of futures prices is characterized by the "Samuelson Hypothesis": there is a decreasing pattern of volatilities along the prices curve. Despite some debates about statistical measurements, this hypothesis has found a large empirical support. Yet, to the best of our knowledge, one of its empirical implications has never been proposed nor tested: if Samuelson is right, then prices shocks emerging in the physical market should propagate in the direction of the paper market. The first contribution of this paper is to fill this gap. Second contribution: up to now, the validation of the Samuelson hypothesis has never been considered in the case of electricity futures markets. Yet the non storability of this commodity raises interesting questions. Is the Samuelson hypothesis still valid in such a context? What does this commodity learn us about the role of inventories in the prices’ volatilities? In order to answer these questions, we examine the prices behavior of the four most important electricity futures markets, worldwide, from 2009 to 2013: the German market, the NordPool, the Australian market and the PJM Western Hub in the USA. We use the American crude oil market as a benchmark for a storable commodity negotiated on a futures market and as an example of a mature market. We find evidence, for all markets, of a maturity impact. Finally, we rely on the recent notion of indirect storability as a first direction to explain such conclusion.

It is common to assert, in the literature on commodity derivative markets, that the behavior of futures prices is characterized by the "Samuelson Hypothesis": there is a decreasing pattern of volatilities along the prices curve. Despite some debates about statistical measurements, this hypothesis has found a large empirical support. Yet, to the best of our knowledge, one of its empirical implications has never been proposed nor tested: if Samuelson is right, then prices shocks emerging in the physical market should propagate in the direction of the paper market. The first contribution of this paper is to fill this gap. Second contribution: up to now, the validation of the Samuelson hypothesis has never been considered in the case of electricity futures markets. Yet the non storability of this commodity raises interesting questions. Is the Samuelson hypothesis still valid in such a context? What does this commodity learn us about the role of inventories in the prices’ volatilities? In order to answer these questions, we examine the prices behavior of the four most important electricity futures markets, worldwide, from 2009 to 2013: the German market, the NordPool, the Australian market and the PJM Western Hub in the USA. We use the American crude oil market as a benchmark for a storable commodity negotiated on a futures market and as an example of a mature market. We find evidence, for all markets, of a maturity impact. Finally, we rely on the recent notion of indirect storability as a first direction to explain such conclusion.

After having been considered as a public good during decades, electricity is now regarded as a tradable commodity in most developed countries. Since they were launched twenty years ago, electricity derivative markets exhibit sustained rises in their transaction volumes. Even if these markets are still recent, there is now enough information to understand precisely how they function and to compare them with other markets for traditional commodities. Moreover, it is common to assert, in the literature on commodity derivative markets, that the behavior of futures prices is characterized by the "Samuelson Hypothesis" (Samuelson, 1965), i.e. by the presence of a decreasing pattern of volatilities along the prices curve. A deeper knowledge of the Samuelson hypothesis is required for industrial and financial agents as well as for regulatory authorities. Traditional hedgers on commodity markets are producers, industrial processors and trading companies. They use the futures markets to hedge their physical exposure to the underlying asset. Taking into account the Samuelson effect might impact the choice of their hedging horizon. Moreover, volatility is one of the most important parameters in the pricing of options. Whenever the framework of a constant volatility, as in the Black-Scholes model, is relaxed, the Samuelson effect must be taken into account. Finally, the maturity impact concerns clearing houses and regulatory authorities when setting margin requirements and thinking about risk exposures. Margin requirements, which protect against counter-party credit default risk, are function of the risk of the underlying contract, for which a proxy could be the volatility. Despite some debates about statistical measurements, this hypothesis has found a large empirical support. Yet, to the best of our knowledge, one of its empirical implications has never been proposed nor tested: if Samuelson is right, then prices shocks emerging in the physical market should propagate in the direction of the paper market. The first contribution of this paper is to fill this gap. Second contribution: up to now, the validation of the Samuelson hypothesis has never been considered in the case of electricity futures markets. Yet the non storability of this commodity raises interesting questions.

The rise in commodity prices observed during the 2000s, which was concomitant with a greater presence of financial agents in these markets, has aroused the interest of researchers. This rise in prices has occurred with a transformation of commodity markets, whether due to the presence of new financial instruments or to greater investment in these markets. The first two chapters of this thesis study the impact on commodities of the presence of Exchange-Traded Products whose purpose is to offer financial investors passive exposure to commodities. In the course of these studies, it is shown that the mechanism (known as creation/redemption) used to deliver the performance of the underlying commodity to investors has an impact on the price of the underlying, its volatility and its correlation to the equity market. Finally, these same instruments have become the main contributors to the price discovery function, whereas traditionally this function was performed by the futures markets. The last chapter of this thesis manuscript studies the seasonality of both prices and positions of the different types of agents present in the agricultural commodities futures market. The results show that the seasonality of positions in the futures market has been modified by the increased presence of financial agents. This thesis quantifies and demonstrates that the new investment vehicles and the increased positions of these same investors in the futures market have changed the financial and fundamental characteristics of commodities.

We propose a simple equilibrium model, where the physical and the derivative markets of the commodity interact. There are three types of agents: industrial pro- cessors, inventory holders and speculators. Only the two first of them operate in the physical market. All of them, however, may initiate a position in the paper market, for hedging and/or speculation purposes. We give the necessary and sufficient con- ditions on the fundamentals of this economy for a rational expectations equilibrium to exist and we show that it is unique. This is the first contribution of the paper. Our model exhibits a surprising variety of behaviours at equilibrium, and our second contribution is that the paper offers a unique generalized framework for the analysis of price relationships. The model indeed allows for the generalization of hedging pressure theory, and it shows how this theory is connected to the storage theory. Meanwhile, it allows to study simultaneously the two main economic functions of derivative markets: hedging and price discovery. In its third contribution, through the distinction between the utility of speculation and that of hedging, the model illustrates the interest of a derivatives market in terms of the welfare of the agents.

This chapter summarizes several empirical studies in finance, undertaken through the prism of the graph theory. In these studies, we built graphs in order to investigate integration and systemic risk in derivative markets. Several classes of underlying assets (i.e. energy products, metals, financial assets, agricultural products) are considered, on a twelve-year period. In such a high dimensional analysis, the graph theory enables us to understand the dynamic behavior of our price system. The dimension of the fully connected graph being high, we rely on a specific type of graphs: Minimum Spanning Trees (MSTs). Such a tree is especially interesting for the study of systemic risk: it can be assimilated into the shortest and most probable path for the propagation of a price shock. We first examine the topology of the MSTs. Then, given the time dependency of our correlation-based graphs, we study their evolution over time and their stability.

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This dissertation presents the work carried out since the doctoral thesis by placing it in a framework that provides a general view of the literature on the term structure of commodity prices. It begins with a first part devoted to the theoretical analysis of the term structure. In order to understand the relationship between spot and futures prices, I first turn to the traditional theories of commodity prices - the normal discount theory and the storage theory. Originally developed in a context where the notion of term structure was less important, because the maturity of futures contracts was not very distant, these theories appear however to be limited when the horizon of analysis increases and one wishes to take into account the entire term structure. A number of my works therefore aim at extending the traditional theories to the long term. They also aim at improving the understanding of the dynamic behavior of the price curve in a commodity market. The theoretical analysis of the term structure of commodity prices having been carried out, it was interesting to consider how to exploit its teachings for modeling purposes. This is the purpose of the second part of the paper, which presents a new term structure model - called an asymmetric model - justifies the underlying assumptions, and positions it in relation to other models. The third part aims at assessing the quality of the modeling carried out: it focuses on the results of empirical tests carried out on the basis of term structure models. Simulations allow me first to highlight the influence of the assumptions concerning the stochastic process chosen for the state variables and the number of state variables, in three different models. I then present methodological work developed in response to the specific estimation difficulties presented by term structure models of commodity prices. Finally, the performance of the models, i.e. their ability to reproduce the observed price curve, is discussed, allowing us to present the empirical results obtained with the asymmetric model. Two applications have been considered in the literature for term structure models of commodity prices: dynamic hedging and valuation. With respect to hedging, the reflection on the use of term structure models is motivated by the desire to hedge long-term commitments on the physical market with the help of short-term futures contracts. The work then focuses on determining the hedging strategy to be implemented and on analyzing its effectiveness. In the field of valuation, term structure models have been used based on real options theory. Most of the research undertaken has focused on the investment decision in the context of mineral commodities, as the irreversible nature of the investment is particularly pronounced for the latter. My research work has focused on each of these two applications. They have been the subject of several publications. They are also the subject of ongoing research and are at the origin of several projects.

This thesis was carried out to answer the following question: can the information provided by commodity futures markets and the hedging techniques they offer be used to value an oil deposit and decide on its exploitation date? The work was therefore focused on the valuation of a barrel of oil for a distant delivery date. To achieve this, a term structure model of commodity prices was used. Several steps were successively addressed. First, traditional commodity price theories were explored in order to understand the relationship between spot and futures prices. The main models of the term structure of commodity prices were then studied. At this stage of the work, the following observation was made: while the traditional theories constitute the theoretical basis for the development of a term structure model of prices, not all the lessons of these theories have been exploited. The asymmetric behavior of the basis has implications for the dynamic behavior of the convenience yield that have not been known to date. Based on this observation, a term structure model of commodity prices, in which the convenience yield behaves asymmetrically, has been developed. This model has been compared to the two most commonly used models in the commodity field. Its performance has been tested by using a Kalman filter. The results obtained suggest that the asymmetry assumption of the convenience yield is verified, although the method of estimating the parameters of the model needs to be improved. The third part of the thesis is devoted to the study of investment projects. The contribution of term structure pricing models in this type of analysis is highlighted through a comparison with the methods traditionally used to value a deposit and decide on its exploitation date.