Asprem, M. (1989) Stock prices, asset portfolios and macroeconomic variables in ten European countries. Journal of Banking and Finance, 13, 589–612.
Becherer, D. (2006) Bounded solutions to BSDE's with jumps for utility optimization and indifference hedging. The Annals of Applied Probability, 16, 2027–2054.
Blake, D., Wright, D. and Zhang, Y.M. (2012) Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion. Journal of Economic Dynamics and Control, 37, 195–209.
Bouchard, B. and Elie, R. (2008) Discrete time approximation of decoupled forward backward SDE with jumps. Stochastic Processes and their Applications, 118, 53–75.
Boulier, J.F., Huang, S.J. and Taillard, G. (2001) Optimal management under stochastic interest rates: The case of a protected defined contribution pension fund. Insurance: Mathematics and Economics, 28, 173–189.
Browne, S. (1995) Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin. Mathematics of Operations Research, 20 (4), 937–958.
Cairns, A.J.G., Blake, D. and Dowd, K. (2006) Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans. Journal of Economic Dynamics and Control, 30, 843–877.
Campbell, J.Y. (1987) Stock returns and the term structure. Journal of Financial Economics, 18, 373–399.
Carmona, R. (2008) Indifference Pricing: Theory and Applications. Princeton: Princeton University Press.
Crépey, S. (2011) About the pricing equation in finance. In Paris-Princeton Lectures in Mathematical Finance 2010 (ed., Carmona, R.A., Çinlar, E., Ekeland, I., Jouini, E., Scheinkman, J.A. and Touzi, N.), pp. 63–203. Berlin: Springer.
Delong, Ł. (2013) Backward Stochastic Differential Equations with Jumps and their Actuarial and Financial Applications. London: Springer.
El Karoui, N., Peng, S. and Quenez, M.C. (1997) Backward stochastic differential equations in finance. Mathematical Finance, 7, 1–71.
Elliott, R.J. and Siu, T.K., Badescu, A. (2011) On pricing and hedging options in regime-switching models with feedback effect. Journal of Economic Dynamics and Control, 35, 694–713.
Engle, R., Ghysels, E. and Sohn, B. (2008) On the economic sources of stock market volatility, Working paper.
Gao, J. (2008) Stochastic optimal control of dc pension funds. Insurance: Mathematics and Economics, 42, 1159–1164.
Hu, Y., Imkeller, P. and Müller, M. (2005) Utility maximization in incomplete markets. The Annals of Applied Probability, 15, 1691–1712.
Korn, R., Siu, T.K. and Zhang, A. (2011) Asset allocation for a DC pension fund under regime switching environment. European Actuarial Journal, 1, 361–377.
Longstaff, F. and Schwartz, E. (2001) Valuing american options by simulation: A simple least-squares approach. Review of Financial Studies, 14, 113–147.
Merton, R. (1969) Lifetime portfolio selection under uncertainty: The continuous-time case. Review of Economic Statistics, 51, 247–257.
Merton, R. (1971) Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory, 3, 373–413.
Norberg, R. (2001) On Bonus and Bonus Prognoses in Life Insurance. Scandinavian Actuarial Journal, 2, 126–147.
Protter, P. (2004) Stochastic Integration and Differential Equations. Berlin: Springer.
Schwert, G. (1989) Why does stock market volatility change over time? Journal of Finance, 44, 1115–1153.