The fluctuation of stock prices is modelled as a sequence of temporary equilibria on a financial market with different types of agents. We summarize joint work with M. Schweizer on the class of Ornstein-Uhlenbeck processes in a random environment which appears in the diffusion limit. Moreover,...

We develop a new approach to pricing and hedging contingent claims in incomplete markets. Mimicking as closely as possible in an incomplete markets framework the no--arbitrage arguments that have been developed in complete markets leads us to defining the concept of pseudo--arbitrage. Building...

We deal with the valuration and hedging of non path-dependent European options on one or several underlyings in a model of an international economy which allows for both interest rate and exchange rate risk. Using martingale theory we provide a unified and easily applicable approach to pricing...