This dissertation analyzes different models for predicting how interest rates will change in the market. It focuses on the Vasicek, Cox Ingersoll & Ross, and Ho-Lee models, which are important for forecasting interest rates and pricing interest rate derivatives like Caps, Floors, and Swaps. The study also uses Monte-Carlo simulation to estimate the prices of Cap derivatives based on the evolution of interest rates over time. The results show how these models perform in predicting interest rates for USD, GBP, and EU currencies.