This is a first-ever textbook written in English about the theory of modular forms and Jacobi forms of several variables. It contains the classical theory as well as a new theory on Jacobi forms over Cayley numbers developed by the author from 1990 to 2000. Applications to the classical Euler sums are of special interest to those who are eager to evaluate double Euler sums or more general multiple zeta values. The celebrated sum formula proved by Granville in 1997 is generalized to a more general form here.