A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written r t {\displaystyle r_{t}\,} . == The short rate == Under a short rate model, the stochastic state variable is taken to be the instantaneous spot rate.
A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written r t {\displaystyle r_{t}\,} . == The short rate == Under a short rate model, the stochastic state variable is taken to be the instantaneous spot rate.
Source: Wikipedia "Short-rate model" · CC BY-SA 4.0
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