Pricing and hedging strategies in incomplete energy markets.

Summary This thesis focuses on valuation and financial strategies for hedging risks in energy markets. These markets present particularities that distinguish them from standard financial markets, notably illiquidity and incompleteness. Illiquidity is reflected in high transaction costs and constraints on volumes traded. Incompleteness is the inability to perfectly replicate derivatives. We focus on different aspects of market incompleteness. The first part deals with valuation in Lévy models. We obtain an approximate formula for the indifference price and we measure the minimum premium to be brought over the Black-Scholes model. The second part concerns the valuation of spread options in the presence of stochastic correlation. Spread options deal with the price difference between two underlying assets -- for example gas and electricity -- and are widely used in the energy markets. We propose an efficient numerical procedure to calculate the price of these options. Finally, the third part deals with the valuation of a product with an exogenous risk for which forecasts exist. We propose an optimal dynamic strategy in the presence of volume risk, and apply it to the valuation of wind farms. In addition, a section is devoted to asymptotic optimal strategies in the presence of transaction costs.