Cox Ingersoll Ross

This generates a term structure of zero coupon prices
Assumption - risk neutral process for the (instantaneous) short rate is stochastic with one source of uncertainty. The stochastic process includes drift and volatility parameters which depend only on the short rate and not on time.
mean reversion - the tendency for the short rate to drift back to some underlying rate

The volatility depends on the square root of the short rate which ensures that is cannot produce negtaive short rates

Example - Zero Coupon Bond

Example - European Option on a Zero Coupon Bond

Example - European Option on a Fixed Coupon Bond