Before revision:   With these tools, we derive robust pricing rules for the most common interest rate derivatives : fixed coupon bonds, floating rate notes, interest rate swaps, swaptions, caps, and floors. For fixed coupon bonds, floating rate notes, and interest rate swaps, we obtain a single price, which is the same as in traditional models. For swaptions, caps, and floors, we obtain a range of prices, which is bounded by the prices from traditional models with the highest and lowest possible volatility . Due to these pricing formulas, the model naturally exhibits unspanned stochastic volatility.
After revision:  With these tools, we derive robust pricing rules for the most common interest rate derivatives . The pricing formulas provide a link to the pricing formulas of traditional models without volatility uncertainty and show that volatility uncertainty naturally leads to unspanned stochastic volatility.