Derivatives valuation is based on the key principle of no-arbitrage pricing. This chapter presents valuation models for various types of fixed income derivatives, including forward rate agreements (FRAs), interest rate swaps, Eurodollar and Treasury bond futures, bond options, caps and floors, swaptions, and options on interest rate futures. Following the financial crisis that began in the summer of 2007, major changes occurred in the practice of fixed income derivatives valuation, particularly regarding the adoption of overnight indexed swaps (OIS) as a source of the risk-free rate. This chapter shows how OIS discounting is implemented in FRA pricing and swap valuation. Traditional approaches such as cost of carry valuation in futures pricing are illustrated. With respect to option valuation, this chapter explains the risk-neutral pricing approach as well as closed-form solutions such as the Black model. The chapter also provides numeric examples to illustrate the practical use of the presented models and formulas.