Scientific and technological development of the Terahertz (THz) frequency range, a domain of the electromagnetic spectrum that is located in between microwaves and infrared photonics, is timely and subjected to an intense research activity recently. We have recently developed TeraHertz cavities using a plasmonic mechanism based on the surface plasmons of a doped semiconductor. We have demonstrated the remarkable property of these resonators of being able to confine TeraHertz photons in record volumes of the order of 10-7 times smaller than the diffraction limit. This plasmonic mechanism also allows the functionalization and tunability of the cavities thanks to external parameters such as the electric or magnetic field or the temperature, among others. The aim of this thesis will be to develop THz plasmonic cavities and in particular to study their nonlinear behaviour when subjected to intense THz pulses. The aim will be to TeraHertz frequency conversion based on this nonlinearity.