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has been cited by the following article:
TITLE: Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model
AUTHORS: Hiroaki Hata, Jun Sekine
KEYWORDS: Risk-Sensitive Asset Management; Wishart Autoregressive Stochastic Factor; Stochastic Covariance; Stochastic Interest Rate; Stochastic Risk Premium; Riccati Differential Equation
JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.1A, March 29, 2013
ABSTRACT: The risk-sensitive asset management problem with a finite horizon is studied under a financial market model having a Wishart autoregressive stochastic factor, which is positive-definite symmetric matrix-valued. This financial market model has the following interesting features: 1) it describes the stochasticity of the market covariance structure, interest rates, and the risk premium of the risky assets; and 2) it admits the explicit representations of the solution to the risk-sensitive asset management problem.