  In this paper, we study term structure movements in the spirit of Heath,
Jarrow, and Morton [Econometrica 60(1), 77-105] under volatility uncertainty.
We model the instantaneous forward rate as a diffusion process driven by a
G-Brownian motion. The G-Brownian motion represents the uncertainty about the
volatility. Within this framework, we derive a sufficient condition for the
absence of arbitrage, known as the drift condition. In contrast to the
traditional model, the drift condition consists of several equations and
several market prices, termed market price of risk and market prices of
uncertainty, respectively. The drift condition is still consistent with the
classical one if there is no volatility uncertainty. Similar to the traditional
model, the risk-neutral dynamics of the forward rate are completely determined
by its diffusion term. The drift condition allows to construct arbitrage-free
term structure models that are completely robust with respect to the
volatility. In particular, we obtain robust versions of classical term
structure models.
