Abstract:
La variedad CIRNO C2008 fue desarrollada en el Campo Experimental Norman E. Borlaug, en un proyecto colaborativo entre el INIFAP y el CIMMYT, para las áreas productoras de trigo del noroeste de México. Su pedigrí e historial de selección es SOOTY-9/RASCON-37//CAMAYO, CGS02Y00004S-2F1-6Y-0B-1Y-0B. CIRNO C2008 cuenta con el registro provisional 2146-TRI-086-141008/C del Catálogo Nacional de Variedades Vegetales del Servicio Nacional de Inspección y Certificación de Semillas. Esta variedad es de hábito de crecimiento primaveral y resistente a la roya de la hoja (Puccinia triticina), con rendimiento promedio de 5.6 y 6.3 t ha-1 con dos y tres riegos de auxilio, respectivamente; en cuatro fechas de siembra, siendo superior al testigo Júpare C2001. En parcelas con agricultores cooperantes, CIRNO C2008 superó en forma consistente al testigo en 14.9% en promedio de tres validaciones, por lo que la nueva variedad representa una opción de trigo cristalino para los agricultores en los estados de Baja California, Baja California sur, Sinaloa y Sonora. Commercial cultivar CIRNO C2008 was developed at the Norman E. Borlaug Experimental Station through a collaborative project between INIFAP and CIMMYT, for wheat producing areas in northwest Mexico. The pedigree and selection history are SOOTY-9/RASCON-37//CAMAYO and CGS02Y00004S-2F1-6Y-0B-1Y-0B. CIRNO C2008 has the registration 2146-TRI-086-141008/C in the catalogue of cultivars feasible for registration. This cultivar is spring-type, resistant to leaf rust (Puccinia triticina), with an average experimental yield of 5.6 and 6.3 t ha-1 with two and three complementary irrigations, respectively, in four planting dates, being superior to control cultivar Júpare C2001. CIRNO C2008 consistently showed grain yield (average 14.9%) higher than control cultivar; therefore, this new cultivar represents an option of durum wheat for farmers in the states of Baja California, Baja California Sur, Sinaloa, and Sonora.

Abstract:
The estimation of the L\'{e}vy density, the infinite-dimensional parameter controlling the jump dynamics of a L\'{e}vy process, is considered here under a discrete-sampling scheme. In this setting, the jumps are latent variables, the statistical properties of which can be assessed when the frequency and time horizon of observations increase to infinity at suitable rates. Nonparametric estimators for the L\'{e}vy density based on Grenander's method of sieves was proposed in Figueroa-L\'{o}pez [IMS Lecture Notes 57 (2009) 117--146]. In this paper, central limit theorems for these sieve estimators, both pointwise and uniform on an interval away from the origin, are obtained, leading to pointwise confidence intervals and bands for the L\'{e}vy density. In the pointwise case, our estimators converge to the L\'{e}vy density at a rate that is arbitrarily close to the rate of the minimax risk of estimation on smooth L\'{e}vy densities. In the case of uniform bands and discrete regular sampling, our results are consistent with the case of density estimation, achieving a rate of order arbitrarily close to $\log^{-1/2}(n)\cdot n^{-1/3}$, where $n$ is the number of observations. The convergence rates are valid, provided that $s$ is smooth enough and that the time horizon $T_n$ and the dimension of the sieve are appropriately chosen in terms of $n$.

Abstract:
the commercial variety cevy oro c2008 was developed at the norman e. borlaug experimental station in a collaboration between inifap and cimmyt, for the wheat-producing areas of the states of sinaloa, sonora, baja california sur, and baja california in mexico. its pedigree is scrip_1//dipper_2/bushen_3/4/ arment//srn_3/nigris_4/3/ canelo_9.1, cdss02y00381s-0y-0m-19y-0m and its selection history is cdss02y00381s-0y-0m-19y-0m. cevy oro c2008 has the registration tri-111-240209 in the catalogue of cultivars feasible for registration. this wheat variety has a springtime growth habit and is resistant to leaf rust (puccinia triticina), with an experimental average grain yield of 5.6 t ha-1 with three complementary irrigations, in four sowing dates. cevy oro c2008 averaged 7.1, 7.4, and 7.2 t ha-1 in 2008-2009, 2009-2010, and 2010-2011, respectively, in commercial fields of cooperating wheat producers from southern sonora; therefore, this cultivar is a new option of durum wheat for wheat producers of northwest mexico.

Abstract:
commercial cultivar cirno c2008 was developed at the norman e. borlaug experimental station through a collaborative project between inifap and cimmyt, for wheat producing areas in northwest mexico. the pedigree and selection history are sooty-9/rascon-37//camayo and cgs02y00004s-2f1-6y-0b-1y-0b. cirno c2008 has the registration 2146-tri-086-141008/c in the catalogue of cultivars feasible for registration. this cultivar is spring-type, resistant to leaf rust (puccinia triticina), with an average experimental yield of 5.6 and 6.3 t ha-1 with two and three complementary irrigations, respectively, in four planting dates, being superior to control cultivar júpare c2001. cirno c2008 consistently showed grain yield (average 14.9%) higher than control cultivar; therefore, this new cultivar represents an option of durum wheat for farmers in the states of baja california, baja california sur, sinaloa, and sonora.

Abstract:
Motivated by the so-called shortfall risk minimization problem, we consider Merton's portfolio optimization problem in a non-Markovian market driven by a Lévy process, with a bounded state-dependent utility function. Following the usual dual variational approach, we show that the domain of the dual problem enjoys an explicit “parametrization,” built on a multiplicative optional decomposition for nonnegative supermartingales due to F？llmer and Kramkov (1997). As a key step we prove a closure property for integrals with respect to a fixed Poisson random measure, extending a result by Mémin (1980). In the case where either the Lévy measure of has finite number of atoms or for a process and a deterministic function , we characterize explicitly the admissible trading strategies and show that the dual solution is a risk-neutral local martingale. 1. Introduction The task of determining good trading strategies is a fundamental problem in mathematical finance. A typical approach to this problem aims at finding the trading strategy that maximizes, for example, the final expected utility, which is defined as a concave and increasing function of the final wealth. There are, however, many applications where a utility function varies with the underlying securities, or even random. For example, if the market is incomplete, it is often more beneficial to allow certain degree of “shortfall” in order to reduce the “super-hedging cost” (see, e.g., [1, 2] for more details). Mathematically, such a shortfall risk is often quantified by the expected loss where is a convex increasing “loss” function, is a contingent claim, and is the value process that is subject to the constraint , for a given initial endowment . The above shortfall minimizing problem can be easily recast as a utility maximization problem with a bounded state-dependent utility of the form as it was first pointed out by F？llmer and Leukert [3] (see Definition 2.3 for a formal description of the general bounded state-dependent utility). Then, the minimal shortfall risk cost is given by where the supremum is taken over all wealth processes generated by admissible trading strategies. We should point out here that it is the boundedness and potential nondifferentiability of such utility function that give rise to some technical issues which make the problem interesting. The existence and essential uniqueness of the solution to the problem (1.3) in its various special forms have been studied by many authors see, for example, Cvitani？ [4], F？llmer and Leukert [3], Xu [5], and Karatzas and ？itkovi？ [6], to mention a

Abstract:
Let $X$ be a L\'evy process with absolutely continuous L\'evy measure $\nu$. Small time polynomial expansions of order $n$ in $t$ are obtained for the tails $P(X_{t}\geq{}y)$ of the process, assuming smoothness conditions on the L\'evy density away from the origin. By imposing additional regularity conditions on the transition density $p_{t}$ of $X_{t}$, an explicit expression for the remainder of the approximation is also given. As a byproduct, polynomial expansions of order $n$ in $t$ are derived for the transition densities of the process. The conditions imposed on $p_{t}$ require that its derivatives remain uniformly bounded away from the origin, as $t\to{}0$; such conditions are shown to be satisfied for symmetric stable L\'evy processes as well as for other related L\'evy processes of relevance in mathematical finance. The expansions seem to correct asymptotics previously reported in the literature.

Abstract:
Estimation methods for the L\'{e}vy density of a L\'{e}vy process are developed under mild qualitative assumptions. A classical model selection approach made up of two steps is studied. The first step consists in the selection of a good estimator, from an approximating (finite-dimensional) linear model ${\mathcal{S}}$ for the true L\'{e}vy density. The second is a data-driven selection of a linear model ${\mathcal{S}}$, among a given collection $\{{\mathcal{S}}_m\}_{m\in {\mathcal{M}}}$, that approximately realizes the best trade-off between the error of estimation within ${\mathcal{S}}$ and the error incurred when approximating the true L\'{e}vy density by the linear model ${\mathcal{S}}$. Using recent concentration inequalities for functionals of Poisson integrals, a bound for the risk of estimation is obtained. As a byproduct, oracle inequalities and long-run asymptotics for spline estimators are derived. Even though the resulting underlying statistics are based on continuous time observations of the process, approximations based on high-frequency discrete-data can be easily devised.

Abstract:
In Figueroa-L\'opez et al. (2013), a second order approximation for at-the-money (ATM) option prices is derived for a large class of exponential L\'evy models, with or without a Brownian component. The purpose of this article is twofold. First, we relax the regularity conditions imposed in Figueroa-L\'opez et al. (2013) on the L\'evy density to the weakest possible conditions for such an expansion to be well defined. Second, we show that the formulas extend both to the case of "close-to-the-money" strikes and to the case where the continuous Brownian component is replaced by an independent stochastic volatility process with leverage.

Abstract:
In this article, we consider a Markov process X, starting from x and solving a stochastic differential equation, which is driven by a Brownian motion and an independent pure jump component exhibiting state-dependent jump intensity and infinite jump activity. A second order expansion is derived for the tail probability P[X(t)>x+y] in small time t, for y>0. As an application of this expansion and a suitable change of the underlying probability measure, a second order expansion, near expiration, for out-of-the-money European call option prices is obtained when the underlying stock price is modeled as the exponential of the jump-diffusion process X under the risk-neutral probability measure.

Abstract:
In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential L\'{e}vy models with or without Brownian component. The results hereafter shed new light on the connection between both the volatility of the continuous component and the jump parameters and the behavior of ATM option prices near expiration. In the presence of a Brownian component, the second-order term, in time-$t$, is of the form $d_{2}\,t^{(3-Y)/2}$, with $d_{2}$ only depending on $Y$, the degree of jump activity, on $\sigma$, the volatility of the continuous component, and on an additional parameter controlling the intensity of the "small" jumps (regardless of their signs). This extends the well known result that the leading first-order term is $\sigma t^{1/2}/\sqrt{2\pi}$. In contrast, under a pure-jump model, the dependence on $Y$ and on the separate intensities of negative and positive small jumps are already reflected in the leading term, which is of the form $d_{1}t^{1/Y}$. The second-order term is shown to be of the form $\tilde{d}_{2} t$ and, therefore, its order of decay turns out to be independent of $Y$. The asymptotic behavior of the corresponding Black-Scholes implied volatilities is also addressed. Our approach is sufficiently general to cover a wide class of L\'{e}vy processes which satisfy the latter property and whose L\'{e}vy densitiy can be closely approximated by a stable density near the origin. Our numerical results show that the first-order term typically exhibits rather poor performance and that the second-order term can significantly improve the approximation's accuracy, particularly in the absence of a Brownian component.