Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. 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.Throughout this section Wt represents a standard Brownian motion under a risk-neutral probability measure and dWt its differential. Other than Rendleman–Bartter and Ho–Lee, which do not capture the mean reversion of interest rates, these models can be thought of as special cases of Ornstein–Uhlenbeck processes.

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