DEF BLOG :

In the previous article, a set of linear equations was arranged in the form of a tridiagonal matrix equation. Solving this equation allows for the calculation of values at the interior grid points. Th

In the previous article about the Finite Difference Method, it was shown that the explicit method for numerically solving the heat equation requires a very small time step size, which prompts the cons

In the first article of this series, it has been shown that the derivatives of continuous functions can be approximated on a discontinuous domain.The

This is the first part of a multi-part series of articles on using the Finite Difference Method (FDM) to solve parabolic partial differential equation

If you have just completed your PhD or are nearing completion and are looking for opportunities in the Quant (Quantitative Analyst) or Financial Engin

When we have tools like Ito’s Lemma and the Geometric Brownian Motion (GBM) model, we can now start proving the Black-Scholes equation.

Itos Lemma is a fundamental rule in stochastic calculus (Ito Calculus) that extends the chain rule from regular calculus to be applicable to stochasti

Geometric Brownian Motion (GBM) is a fundamental model widely used to describe the behavior of asset prices over time. This model guarantees that pric

Previously, we introduced Brownian Motion and the Wiener Process as the foundation for modeling asset price paths.However, standard Brownian Motion ha

In this article, we will define Brownian Motion and explain some of its properties, which are very important in creating models for future asset price

Currently, Python has become the main language in the field of quantitative finance. It is widely used in both investment banks and quantitative hedge

In the previous article, we introduced several C++ books to help learn the syntax necessary for creating derivatives pricing models. These models ofte