Valuation problems and organization in the energy markets.

Summary Over the last thirty years, the electricity industry has undergone considerable changes in its organization, all over the world. Traditionally a centralized industry, organized as a monopoly, at least locally, and often publicly owned, the production and supply of electricity has gradually opened up to the rules of the market and competition. Today, a large number of countries have established wholesale markets where producers and suppliers exchange electricity to meet the needs of end consumers. These markets are no longer only national and cross-border exchanges are becoming more and more frequent. The question of the organization of these markets is crucial, given the magnitude of the consequences in the event of a failure (we remember the California crisis or the Enron scandal in 2001). More generally, it is the energy markets as a whole that have been transformed in a context of growing demand, the threat of depletion of fossil fuels, environmental awareness and political tensions over access to resources. Around an oil market under pressure, the gas and coal markets have seen their volumes increase. The signing of the Kyoto Protocol and the implementation of a proactive policy to reduce greenhouse gas emissions have led to the creation of emission permit markets and stimulated the use of renewable energies, biofuels and nuclear energy. The increasing exposure of the global economy to energy prices has led financial markets to develop risk management products adapted to the commodities world (energy, agriculture, metals). These products manage price risk, but also volume risk, in order to hedge the risk of fluctuating demand. They are now also derivatives or insurance products on climate risk. This doctoral thesis is part of this context. It is composed of four chapters that can be read independently. The first chapter deals with the valuation of production assets such as thermal power plants. This Real Option valuation method is based on a utility indifference calculation and allows for the consideration of production constraints and market frictions. The asset value is characterized using backward-looking stochastic differential equations and gives access to Monte Carlo and PDE-type resolution methods. The second chapter focuses on the valuation of storage assets such as hydraulic dams. The average yield of the asset is characterized as the unique viscosity solution of a nonlinear partial differential equation. The numerical implementation by a finite difference scheme is discussed. The third chapter is dedicated to a modeling of the CO2 emission permits market. A competitive equilibrium model with two markets (electricity spot and emission rights) is introduced in a random environment. The equilibrium prices and the strategies of the actors are characterized thanks to a representative agent property. We then discuss the impact of CO2 regulation on electricity prices and the introduction of new market rules to reduce the increase in electricity prices. The last chapter is a study of the relationship between risk management and the industrial structure of the players. We introduce and characterize the competitive equilibrium of an economy with three markets, retail, forward and spot, in the presence of uncertainty. The players can have different industrial structures, supplier, producer, trader or vertically integrated. We derive the relationship between prices on the different markets and compare the impact on prices and utilities of the presence of a forward market or integrated players.