In the present work, SWIFT method for pricing European options is extended to Heston model calibration. The computation of option price gradient simplified thanks knowledge characteristic function in closed form. proposed calibration machinery appears be extremely fast, particular a single expiry and multiple strikes, outperforming state-of-the-art we compare it with. Further, priori parameters...

The modelling of the thermal process is used as a tool in determination properties materials, subject to welding. One most important steps calibration heat source model. This necessary condition for given model be solve practical problems. standard practice this regard calibrate by shape melted zone or temperature cycles at set points. In present work, based on maximum temperatures measured sev...