The concept of cognitive radio (CR) has recently received great attention from the research community as a promising paradigm to achieve efficient use of the frequency resource by allowing the coexistence of licensed (primary) and unlicensed (secondary) users in the same bandwidth. In this paper we propose and analyze a totally decentralized approach, based on game theory, to design cognitive MIMO transceivers, who compete with each other to maximize their information rate. The formulation incorporates constraints on the transmit power as well as null and/or soft shaping constraints on the transmit covariance matrix, so that the interference generated by secondary users be confined within the temperature-interference limit required by the primary users. We provide a unified set of conditions that guarantee the uniqueness and global asymptotic stability of the Nash equilibrium of all the proposed games through totally distributed and asynchronous algorithms. Interestingly, the proposed algorithms overcome the main drawback of classical waterfilling based algorithms-the violation of the temperature-interference limit-and they have the desired features required for CR applications, such as low-complexity, distributed implementation, robustness against missing or outdated updates of the users, and fast convergence behavior.