One-factor short-rate model
= One-factor short-rate model
{title2=$dr_t=\mu(t,r_t)dt+\eta(t,r_t)dW_t$}
A <one-factor short-rate model> specifies $dr_t=\mu(t,r_t)dt+\eta(t,r_t)dW_t$ with deterministic coefficient functions. All <zero-coupon bond> prices are functions of time, maturity and this single scalar state. The physical drift and pricing drift differ by $\eta\lambda$, where $\lambda$ is the <market price of risk>.