Härdle, Wolfgang; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
index, HDD index, market price of risk, risk premium, CME
JEL classi cation: G19, G29, N26, N56, Q29, Q54
Acknowledgements … price temper-
ature derivatives based on the HDD index. Barrieu and El Karoui (2002) present an optimal design of weather … (CAT), Average of Average
Temperature (AAT) and Event Indices (EI), Jewson et al. (2005). The HDD index measures the …