  We study the Hull-White model for the term structure of interest rates in the
presence of volatility uncertainty. The uncertainty about the volatility is
represented by a set of beliefs, which naturally leads to a sublinear
expectation and a G-Brownian motion. The main question in this setting is how
to find an arbitrage-free term structure. This question is crucial, since we
can show that the classical approach, martingale modeling, does not work in the
presence of volatility uncertainty. Therefore, we need to adjust the model in
order to find an arbitrage-free term structure. The resulting term structure is
affine with respect to the short rate and the adjustment factor. Although the
adjustment changes the structure of the model, it is still consistent with the
traditional Hull-White model after fitting the yield curve. In addition, we
extend the model and the results to a multifactor version, driven by multiple
risk factors.
