Mathematical modeling and computation in finance involve the use of mathematical techniques and computational methods to analyze and model financial systems, instruments, and markets. This field has grown rapidly over the past few decades, driven by advances in computing power, mathematical techniques, and the increasing complexity of financial markets.
When a financial problem can be expressed as a PDE (like the Black-Scholes equation), FDM is often the numerical method of choice. It discretizes the continuous time and asset price space into a grid. mathematical modeling and computation in finance pdf