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

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Author Info

  • Lautier, Delphine

Abstract

CETTE THESE A ETE REALISEE POUR REPONDRE A LA QUESTION SUIVANTE : LES INFORMATIONS APPORTEES PAR LES MARCHES A TERME DE COMMODITES ET LES TECHNIQUES DE COUVERTURE QU'ILS PROPOSENT PEUVENTELLES SERVIR A VALORISER UN GISEMENT PETROLIER ET DECIDER DE SA DATE D'EXPLOITATION ? LES TRAVAUX ONT DONC ETE CENTRES SUR LA VALORISATION D'UN BARIL DE PETROLE POUR UNE ECHEANCE LOINTAINE DE LIVRAISON. POUR Y PARVENIR, UN MODELE DE STRUCTURE PAR TERME DES PRIX DES COMMODITES A ETE EMPLOYE. PLUSIEURS ETAPES ONT SUCCESSIVEMENT ETE ABORDEES. LES THEORIES TRADITIONNELLES DES PRIX DES COMMODITES ONT D'ABORD ETE EXPLOREES, AFIN DE COMPRENDRE LES RELATIONS ENTRE PRIX AU COMPTANT ET PRIX A TERME. LES PRINCIPAUX MODELES DE STRUCTURE PAR TERME DES PRIX DES COMMODITES ONT ENSUITE ETE ETUDIES. A CE STADE DES TRAVAUX, LE CONSTAT SUIVANT A ETE ETABLI : SI LES THEORIES TRADITIONNELLES CONSTITUENT LE FONDEMENT THEORIQUE DE L'ELABORATION D'UN MODELE DE STRUCTURE PAR TERME DES PRIX, TOUS LES ENSEIGNEMENTS DE CES THEORIES N'ONT CEPENDANT PAS ETE EXPLOITES ; LE COMPORTEMENT ASYMETRIQUE DE LA BASE A DES IMPLICATIONS SUR LE COMPORTEMENT DYNAMIQUE DU CONVENIENCE YIELD IGNOREES A CE JOUR. PARTANT DE CE CONSTAT, UN MODELE DE STRUCTURE PAR TERME DES PRIX DES COMMODITES, DANS LEQUEL LE CONVENIENCE YIELD A UN COMPORTEMENT ASYMETRIQUE, A ETE DEVELOPPE. CE MODELE A ETE COMPARE AUX DEUX MODELES LES PLUS EMPLOYES DANS LE DOMAINE DES COMMODITES. SES PERFORMANCES ONT ETE TESTEES EN EMPLOYANT UN FILTRE DE KALMAN. LES RESULTATS OBTENUS LAISSENT PENSER QUE L'HYPOTHESE D'ASYMETRIE DU CONVENIENCE YIELD EST VERIFIEE, BIEN QUE LA METHODE D'ESTIMATION DES PARAMETRES DU MODELE DOIVE ETRE AMELIOREE. LA TROISIEME PARTIE DE LA THESE EST CONSACREE A L'ETUDE DE PROJETS D'INVESTISSEMENT. L'APPORT DES MODELES DE STRUCTURE PAR TERME DES PRIX DANS CE TYPE D'ANALYSE EST MIS EN EVIDENCE A PARTIR D'UNE COMPARAISON AVEC LES METHODES TRADITIONNELLEMENT EMPLOYEES POUR VALORISER UN GISEMENT ET DECIDER DE SA DATE DE MISE EN EXPLOITATION.

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File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/126/1/Lautier_These.pdf
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Bibliographic Info

Paper provided by Université Paris-Dauphine in its series Open Access publications from Université Paris-Dauphine with number urn:hdl:123456789/126.

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Length: 397
Date of creation: 2000
Date of revision:
Publication status: Published
Handle: RePEc:ner:dauphi:urn:hdl:123456789/126

Note: Dissertation
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Web page: http://www.dauphine.fr/en/welcome.html

Related research

Keywords: Marchés à terme; Matières premières; Pétrole; Gestion des risques;

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References

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