Interest Rate Models. This course gives you an easy introduction to interest rates and related contracts. These include the LIBOR, bonds, forward rate agreements, swaps, interest rate futures, caps, floors, and swaptions. We will learn how to apply the basic tools duration and convexity for managing the interest rate risk of a bond portfolio. This note provides an introduction to interest rate models. At first, it attempts to explain the martingale pricing theory and change of numeraire technique in an intuitive way (hopefully!). Subsequently it covers several topics in rates models, including an introduction to rates market Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation.