The term structure of commodity prices: theoretical analysis and applications to the oil market.

Summary 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.