Bru, M.-F. (1991). Wishart processes. J. Theoret. Prob.
Buraschi, A., Porchia, P. and Trojani, F. (2010). Correlation risk and optimal portfolio choice. J. Finance
Cont, R. and Da Fonseca, J. (2002). Dynamics of implied volatility surfaces. Quant. Finance
Da Fonseca, J., Grasselli, M. and Tebaldi, C. (2007). Option pricing when correlations are stochastic: An analytical framework. Rev. Derivatives Res. 10, 151–180.
Da Fonseca, J., Grasselli, M. and Tebaldi, C. (2008). A multifactor volatility Heston model. Quant. Finance
Gnoatto, A. and Grasselli, M. (2014). The explicit Laplace transform for the Wishart process. To appear in J. Appl. Prob.
Gourieroux, C. and Sufana, R. (2003). Wishart quadratic term structure models. SSRN E-library
Gourieroux, C. and Sufana, R. (2004). Derivative pricing with Wishart multivariate stochastic volatility: Application to credit risk. SSRN E-library
Hata, H. and Sekine, J. (2013). Risk-sensitive asset management under a Wishart Autoregressive factor model. J. Math. Finance
Heston, S. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financial Studies
Kallsen, J. and Muhle-Karbe, J. (2010). Utility maximization in affine stochastic volatility models. Internat. J. Theor. Appl. Finance
Korn, R. and Kraft, H. (2004). On the stability of continuous-time portfolio problems with stochastic opportunity set. Math. Finance
Kraft, H. (2005). Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility. Quant. Finance
Liptser, R. S. and Shiryaev, A. N. (2001). Statistics of random processes: I, (Appl. Math. 5). Springer, Berlin.
Liu, J. (2007). Portfolio selection in stochastic environments. Rev. Financial Studies
Matsumoto, S. (2012). General moments of the inverse real Wishart distribution and orthogonal Weingarten functions. J. Theoret. Prob.
Mayerhofer, E., Pfaffel, O. and Stelzer, R. (2011). On strong solutions for positive definite Jump diffusions. Stoch. Process. Appl.
Muhle-Karbe, J., Pfaffel, O. and Stelzer, R. (2012). Option pricing in multivariate stochastic volatility models of OU type. SIAM J. Financial Math. 3, 66–94.
Rellich, F. (1969). Perturbation Theory of Eigenvalue Problems. Gordon and Breach Science Publishers, New York.
Richter, A. (2012). Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models. Preprint. Available at http://arxiv.org/abs/1201.2877v1.
Rieder, U. and Bäuerle, N. (2005). Portfolio optimization with unobservable Markov-modulated drift process. J. Appl. Prob.
Sultan, S. A. and Tracy, D. S. (1996). Moments of Wishart distribution. Stoch. Anal. Appl.
Zariphopoulou, T. (2001). A solution approach to valuation with unhedgeable risks. Finance Stoch. 5, 61–82.