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M. Grasselli and C. Tebaldi, “Solvable Affine Term Structure Models,” Mathematical Finance, Vol. 18, No. 1, 2008, pp. 135-153. doi:10.1111/j.1467-9965.2007.00325.x

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.