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Stochastic Differential Equations in Financial Mathematics
Amara Patel, Sunita Krishnan
In: Mathematical Modeling in Physical Sciences
This paper reviews stochastic differential equations (SDEs) and their applications in financial modeling. We examine the Black-Scholes framework, Heston stochastic volatility model, and jump-diffusion processes. Numerical methods for SDE simulation including Euler-Maruyama, Milstein, and Runge-Kutta schemes are analyzed with convergence guarantees.