On Thursday 31 October 2013 Mehtap Kiliç will defend her PhD thesis entitled 'Fundamental Insights in Power Futures Prices'. Her supervisor is Professor Enrico Pennings and her co-supervisor is Dr. Ronald Huisman, both of the Erasmus University Rotterdam. Other members of the Doctoral Committee are Professor Derek Bunn (London Business School), Professor Stein-Erik Fleten (Norwegian University of Science and Technology), Professor Willem Verschoor (Erasmus University Rotterdam).
Time and location
The PhD defence will take place in the Senate Hall of Erasmus University Rotterdam and will start at 11.30 hrs.
About Mehtap Kiliç
Mehtap Kılıç (1984) obtained her BSc. degree in Economics (2007) and Dutch Law (2010) and graduated Cum Laude in Business Economics in 2008 and Financial Law in 2010 at the Erasmus University Rotterdam. In 2009 she joined the Tinbergen Institute as a PhD-student at the Department of Applied Economics at the Erasmus University. Currently, she works as a post doctoral researcher at the Erasmus University at the Department of Business Economics. Some chapters of this thesis have been published in Applied Economics, Energy Economics and Insurance Markets and Companies: Analyses and Actuarial Computations.
Abstract of Fundamental Insights in Power Futures Prices
Futures contracts serve as financial instruments to hedge against price risk. Next to the specific characteristics of electricity as a commodity and the complexity of the electricity market other price risks have emerged. To understand power futures prices it is important to characterise the price drivers. This thesis concentrates on the influence of fundamentals on electricity prices in the derivatives market. Providing arguments and empirical evidence that electricity prices reflect the underlying fundamentals is the main contribution. Power prices cannot only be modelled stochastically because the real world demand and supply dynamics cannot be totally captured. Consequently including these dynamics is essential in the valuation of electricity derivatives. This thesis illustrates that underlying fuels explain the price formation in electricity futures markets.
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Kılıç conducted her doctoral research in Economics at the Tinbergen Institute. The Tinbergen Institute is a joint research institute of Erasmus School of Economics, Erasmus University Rotterdam, Faculty of Economics and Business, University of Amsterdam and Faculty of Economics and Business Administration of VU University Amsterdam.
For more information about this ceremony, please contact Ronald de Groot, Communication Officer of the Erasmus School of Economics phone +31 10 408 1762 or by e-mail: rdegroot@ese.eur.nl.