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Thibaud Garnier defended his PhD in front of the following jury:

• Delphine Lautier (Université PSL Paris Dauphine), referee
• Sergio Lence (Iowa State University), referee
• Marilyne Huchet (Institut Agro Rennes-Angers), examinator
• Bruno L’Hour (Eureden), examinator
• Alexandre Gohin (INRAE), supervisor
• Guillaume Bagnarosa (Rennes School of Business), co-supervisor

Résumé

This Cifre PhD thesis addresses the need of an agricultural cooperative to manage grain price risk. To this end, I propose an appropriate valuation of grain futures contracts. Indeed, these contracts are impacted by the effect of the harvest on prices during the intercrop. In the first part, I present stochastic models of futures prices adapted to the valuation of futures contracts. Then I show how the harvest modifies future prices, and the existing literature to explain this phenomenon. I implement these models using a Monte-Carlo Markov-Chain inference procedure and a particle filter to estimate state variables’ distributions. A new model is proposed with an asymmetric jump in the convenience-yield factor. Our results show the importance of the error, exceeding 10 euros per ton, as well as the significant improvement in valuation with the proposed model. In the third section, I look in detail at spread in futures prices during the inter-crop year. Using USDA estimates of world balances and a rich database of futures prices, I show that the inter-crop is similar to a real option on relative grain scarcity. Finally, I propose an optimal purchasing strategy adapted to the needs of an animal feed manufacturer. This allows me to propose a convincing model capable of explaining buyer behavior.