Although I haven't got into multi-factor short rate models yet, the single factor ones look quite straight forward once the notion of Geometric Brownian Motion becomes clear. The Vasicek Model, for example, is simply the standard Brownian Motion with an added twist of Mean Reversion:
This interest rate model is different from that of stock because it's believed that there is a long term stable rate (around 6%). The short term interest rate tends to be pulled towards this long term mean. In the formula,
b represents the mean rate and
a represents the speed at which the random variable gets pulled. Here is a graph representation of the Vasicek model:
