Derivative Pricing With Wishart Multivariate Stochastic Volatility

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Riding on the smiles (2011, methodology): “Gouriéroux and Sufana (2010) proposed a model based on the continuous-time Wishart process, whilst Da Fonseca et al. (2007b) extended their model by introducing a correlation structure between the dynamics of the assets and their volatility.”
Affine Processes on Positive Semidefinite Matrices (2009, unknown): “Wishart processes have subsequently been introduced in the financial literature by Gourieroux and Sufana [24, 25] and Gourieroux et al. [23].”
On strong solutions for positive definite jump diffusions (2009, unknown): “Positive semi-definite matrix valued processes are increasingly used in finance, particularly for stochastic modeling of multivariate stochastic volatility phenomena in equity and fixed income models, see [7, 8, 12, 11, 13, 14, 21, 20, 23, 33].”
Asset Pricing with Second-Order Esscher Transforms (2010, background): “of probability measures proposed by the continuous-time and discrete-time literature on Quadratic-Gaussian (QG) or on Wishart Autoregressive (WAR) asset pricing models where, for tractability reasons, the risk-correction coefficients are given by constant parameters or are specified as deterministic”