Research into calibration of financial models

Things to read/learn about before the starting on the project

The R programming language and environment. Start with: http://cran.r-project.org/doc/manuals/R-intro.html
Papers on calibration of the Heston model to market prices. Search with Google with "Heston Model Calibration" will lead to some good papers
A little bit about QuantLib

Define an appropriate interface to QuantLib pricing routines:
- Assume for time being derivatives wrt parameters are not available
- Will need to define overall derivative contract specification which does not change
- Then the quantities which allow multiple observations of the market. Traditionally these will be the maturities and strikes of the options
- Multiple maturities/strikes should be supplied into a single function call for efficiency
- The output should be price for each maturity/strike combination
It is up to us to define the level at the interface works, with options being:
- Via input/output text files
- Loading QuantLib as a shared library into R, the using it either via a C-interface, Rcpp (RQuantLib) or SWIG
- Interprocess call (SOAP, or something similar)
Implement optimisation of the model parameters wrt the market observations of prices using standard R least-squares algorithm
- First, compare the results to the algorithm as implemented in QuantLib!