Valorisation financière sur les marchés d'électricité

Abstract : This Ph.D. dissertation deals with the pricing of derivatives on electricity price. The first part is a theoretical extension of Arbitrage Pricing Theory: we assess the problem of pricing contingent claims when the financial agent has the possibility to transform assets by means of production possibilities. We propose a specific concept of arbitrage for such portfolios in discrete time for markets with proportional transaction costs. This allows to show the closedness property, portfolio optimization problem or a super-hedging theorem. We then study such portfolios with financial possibilities in continuous time, with or without frictions. We apply these results to the pricing of futures contract on electricity. In the second part we introduce a class of models allowing to link the electricity spot price with its production cost by a structural relationship. We specify a two combustibles model with possible breakdown. It provides explicit formulae allowing to fit several pattern of electricity spot prices. Using the minimal martingale measure, we explicit an arbitrage price for futures contracts minimizing a quadratic risk criterion. We then specify the model to obtain explicit formulae, calibration methods and statistical estimation of parameters. We address in a second time the question of the risk premium associated to the holding of a European option upon a non-yet available futures contract. We essentially apply the ideas of Bouchard and al. (2009) to the semi-complete market framework and propose numerical procedures to obtain the risk premium associated to a given loss function.
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Probability [math.PR]. Université Paris Dauphine - Paris IX, 2012. French


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Contributor : Adrien Nguyen Huu <>
Submitted on : Thursday, July 19, 2012 - 12:17:04 PM
Last modification on : Thursday, July 19, 2012 - 2:32:47 PM

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Adrien Nguyen Huu. Valorisation financière sur les marchés d'électricité. Probability [math.PR]. Université Paris Dauphine - Paris IX, 2012. French. <tel-00715156>

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