Which term is used to evaluate the change in interest rates over a time interval in financial models?

The term used to evaluate the change in interest rates over a time interval in financial models is represented by "dr," which denotes the differential change in interest rates. This notation is commonly used in mathematical finance and models such as the Black-Scholes framework, where "dr" signifies a small change in the yield or interest rate, allowing for calculations regarding price sensitivity and risk exposures.

In contrast, "dw" typically represents a Wiener process or Brownian motion in stochastic calculus, which is used to model random movements or fluctuations in financial variables but is not specifically tied to interest rate changes. "dt" represents a small increment in time, which is crucial for continuous-time models but does not directly convey changes in interest rates. Lastly, "sigma" refers to volatility, often used to measure the degree of variation in a financial asset's returns, but it does not denote the change in interest rates over time.

Thus, "dr" is specifically the term that captures the essence of interest rate changes in financial modeling, making it the appropriate choice.