How Math Heavy is Graduate Finance This post concerns grad school options.

I am undergraduate math major who is going to complete my studies soon. I am considering finance/financial engineering. How math heavy is the financial math compared to pure math? Is it equally as challenging and tough? I am basically considering to change to finance because pure math is rather challenging for me.

If you need more clarification, mention in comments.
Programs vary; it would be best to look at the specific requirements and prerequisites for the programs you have in mind.

In general, mathematical finance can involve a very considerable amount of pure mathematics.  A big piece is modeling assets via stochastic processes, and to understand those properly requires a firm background in graduate-level real analysis, measure theory, probability theory, and often functional analysis and PDE.  A mathematical finance course may well consist primarily of theorems and proofs, just like a pure math course would.  This is typically even more true at the PhD level than masters.

Of course, I would say that just because mathematics is challenging, that doesn't mean you should avoid it!