I am looking for book on rates vol. Are there any good literature out there that provides a discussion with practical applications?

  • $\begingroup$ In any book about i.r. models (Hull White, HJM, etc.) they discuss vol, I am not sure what exactly you are looking for... Can you clarify a little bit? $\endgroup$
    – Alex C
    Feb 24, 2018 at 18:47
  • $\begingroup$ Corb: Interest Rate Swaps and Other Derivatives. Piterbarg and Anderson: Interest Rate Modelling. Darbyshire: Pricing and Trading Interest Rate Derivatives (the last one is really good but only brief on vol) $\endgroup$
    – Attack68
    Feb 24, 2018 at 19:02
  • $\begingroup$ I sit on the trading desk and these traders trade vol products and it's gibberish to me. I hear things like "conditioner steepeners, payers, skew, gamma" and I'd like to learn more. $\endgroup$ Feb 24, 2018 at 20:36
  • $\begingroup$ Then start with Darbyshire, its written from the point of view of the trader and supposed to help traders practically. The others are the more quantitative side of swaptions and curve models which might be relevant afterwards. $\endgroup$
    – Attack68
    Feb 25, 2018 at 21:38


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