La structure par terme des prix des commodités : Analyse théorique et applications au marché pétrolier

The aim of this pH-D thesis is to answer the following question : Is it possible to use the information offered by the commodity futures markets and the hedging instruments they propose to value a petroleum field and decide when it is suitable to invest ? A term structure model for commodity prices is developed to value a petroleum barrel for postponed delivery. We survey both the traditional theories of commodity prices (first part) and the main term structure models for futures prices (second part). The former allow understanding the relation between spot and futures prices and make up the theoretical foundations of the term structure models. Yet these models did not take into account one important result drawn from commodity prices theories, namely : the asymmetrical behavior of the basis has implications on the dynamic of the convenience yield. In order to bridge this gap, we propose a model in which the convenience yield has an asymmetrical behavior. Relying on the Kalman filter methodology, we compare its performance with that of the most common model in the field : the Schwartz’s model (1997). We reach two main conclusions. First, results tend to confirm the assumption that the dynamic of the convenience yield is asymmetrical. Second, the Kalman filter appears not to be the most convenient way to solve the inverse problem faced in term structure models of commodity prices. In the third part, the relevance of term structure models for investment decisions is tested by applying them to an empirical case study : the valuation of a petroleum field and the optimal timing for investment and production decisions. Comparison with standard methods leads us to conclude that these methods tend to rush investment and production decisions, because they do not consider the possibility of postponing them.