In the context of interest rate derivatives, a short rate model is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate.
Interest Oldrich Vasicek Filtration (mathematics) Ornstein-Uhlenbeck process Risk-neutral measure Differential (calculus) Rendleman-Bartter model Chen model Ho-Lee model Heath-Jarrow-Morton framework Vasicek model LIBOR Market Model Black-Derman-Toy model Cox-Ingersoll-Ross model Hull-White model Yield curve Arbitrage Derivative (finance) Brownian motion Mathematical model Princeton University Press Bond (finance) Cambridge University Press
