It is shown how to construct an arbitrage-free short rate model under uncertainty about the

drift and the volatility. The uncertainty is represented by a set of priors, which naturally

leads to a G-Brownian motion. Within this framework, it is shown how to characterize the

whole term structure without admitting arbitrage. The pricing of zero-coupon bonds in such

a setting differs substantially from the traditional models, since the prices need to be chosen

in a different way in order to exclude arbitrage.