The seismic ground motion of a test area in the eastern district of Naples is computed with a hybrid technique based on the mode summation and the finite difference methods. This technique allows us the realistic modelling of source and propagation effects, including local soil conditions. In...

This paper investigates computational and implementation issues for the valuation of options on three underlying assets, focusing on the use of the finite difference methods. We demonstrate that implicit methods, which have good convergence and stability prooperties, can now be implemented...

We present an acceleration technique, effective for explicit finite difference schemes describing diffusive processes with nearly symmetric operators, called Super-Time-Stepping (STS). The technique is applied to the two-factor problem of option pricing under stochastic volatility. It is shown...