Basics of the Finite Difference Method

Abstract

The finite difference method, which is the main tool of this book, is used to solve various partial differential equations that arise in mathematical finance. For those who are not experts in this area of numerical analysis but nevertheless want to learn about it, below we give a brief introduction to the subject. Although several dozen useful textbooks about finite differences are available (and some of them we will quote below), it makes sense to provide some basic definitions and notions, so the reader can find at least the basics right here in this book.