The coupled nonlinear Schrödinger equation models several intersting physical phenomena. It presents a model equation for optical fiber with linear birefringence. In this paper, we present a linearly implicit conservative method to solve this equation. This method is second order accurate in...

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...

We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating sequence solves an optimal stopping problem for geometric...

Several finite difference schemes are discussed for solving the two-dimensional Schrodinger equation with Dirichlet’s boundary conditions. We use three fully implicit finite difference schemes, two fully explicit finite difference techniques, an alternating direction implicit procedure and the...

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...

We approximate the price of the American put for jump diffusions by a sequence of functions, which are computed iteratively. This sequence converges to the price function uniformly and exponentially fast. Each element of the approximating sequence solves an optimal stopping problem for geometric...

This paper proposes an efficient model for the term structure of interest rates when the interest rate takes very small values. We make the following choices: (i) we model the short-term interest rate, (ii) we assume that once the interest rate reaches zero, it stays there and we have to wait...