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Rating: 
Summary: Modelling Fixed Income Securities and Interest Rate Options
Review: Bob did an excellant job on Derivative Securities and a horrible job with this book. All the tree pictures packed with discount bond prices, rates and risk neutral prob just confuse people even more. Read Derivative Securities and you would understand how HJM works better.
Rating: 
Summary: A Fundamental Resource
Review: Excellent job on the detail analysis of fixed income models, accessible to non-mathematician, no stochastic calculus involved. this book is more focused than Tuckman's book. this is absolutely more easy reading than all other fixed income model books out there. read this one, you will be on the way to "martingale methods in financial modelling". also recommend "fixed income analytics".
Rating:
Summary: A good investment
Review: I had to read this book as complement for the course I took with Robert Jarrow at the Johnson School of Management. The book is difficult to understant for someone with few derivatives and fixed-income knowledge.The book explains how to price fixed-income derivatives based on the binomial pricing model, and the zero coupon bonds.
Rating:
Summary: A Fundamental Resource
Review: I head an interest rate swap desk after several years trading interest rate swaps. I refer to this excellent book when I need a quantitative brush up. Most of our challenges are on the fundamental principles, and Jarrow covers them very well. I'm a fan of Jarrow, and have several of his other works as well. Since I soon will also have responsibility for credit derivatives, I bought and recommend "Credit Derivatives" by Tavakoli. This book brought me up to speed on exotic options in this market as well as total return swaps and the various types of credit derivatives products. Many of my customers use interest rate exotics as well as these products.
Rating:
Summary: Excellent!
Review: The book is very good, unquestionably. It provides you with a deep understanding of interest rate models and risk management. Mind you, you need to know the basics of bonds and fixed income contongent claims, before you try this book. The examples are apt, and explanations are succint, and easily understood. The mathematics involved can be mastered easily, and no arcane stuff (like measure-theoretic probability etc.) are used. So, the book will be accessible to MBA students too. This book has helped me understand the subject very well.
Rating: 
Summary: Incomplete
Review: This book is at its best when explaining the theory. Jarrow provides lots of very explicit examples that really help to illuminate the ideas. Unfortunately, the reader is left to fend for himself when it comes to implementing the theory. The author simply breezes over how to estimate and calibrate these models. There is a rich--but abstruse--literature on how to apply HJM models. This book would be greatly improved if it covered this aspect of the topic with the same care and detail as is devoted to the theoretical segment of the book.
Rating:
Summary: At last a real well written Book on Interest Rate Modeling!
Review: This book will definitely replace all the books on interest rate modeling- Brigo Murcurio etc. The book starts at an elementary level, explains every details of the concept, and then develop the subject matter one needs to know to be a pro in interest rate modeling. Even the simple concepts like duration, convexity are clearly explained that many other books take pages, and even then not very clear. Buy it, Read it! After all you will be learning from a master! The clarity and the writing style are simply great! Good job Prof. Jarrow!BTW: Neither Prof.Jarrow knows me nor I know him personally
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