Interest Rate Modeling by L. Andersen and V. Piterbarg
About the book
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In the summer of 2004 we decided to organize some of our papers on interest rate modeling together into a short book. Six years and 1200 pages later, we ended up with probably the most comprehensive and up-to-date three-volume set (that we still refer to as "the book") on the subject. It covers all topics in interest rate modeling and focuses on modern approaches from a practical (yet rigorous) point of view, reflecting the combined 30 years of industry quant experience of the authors. 
 
The book is now available for pre-order, with the expected shipping date of September 10, 2010. For up-to-date status and latest news please see here.

You can read some (useless) trivia about the book

The book is organized into three volumes, five parts (plus appendix), and 27 chapters (full table of contents and other material available here):

Part I. Foundations
  • Introduction to Arbitrage Pricing Theory (more) 
  • Finite Difference Methods (more) 
  • Monte Carlo Methods (more) 
  • Fundamentals of Interest Rate Modelling (more) 
  • Fixed Income Instruments (more) 
Part II. Vanilla Models
  • Yield Curve Construction and Risk Management (more) 
  • Vanilla Models with Local Volatility (more) 
  • Vanilla Models with Stochastic Volatility I (more) 
  • Vanilla Models with Stochastic Volatility II (more) 

Part III. Term Structure Models

  • One-Factor Short Rate Models I (more) 
  • One-Factor Short Rate Models II (more) 
  • Multi-Factor Short Rate Models (more) 
  • The Quasi-Gaussian Model with Local and Stochastic Volatility (more) 
  • The Libor Market Model I
  • The Libor Market Model II (more) 
 Part IV. Products
  • Single-Rate Vanilla Derivatives (more) 
  • Multi-Rate Vanilla Derivatives (more) 
  • Callable Libor Exotics (more) 
  • Bermudan Swaptions (more) 
  • TARNs, Volatility Swaps, and Other Derivatives (more) 
  • Out-of-Model Adjustments (more) 
Part V. Risk management
  • Fundamentals of Risk Management (more)  
  • Payoff Smoothing and Related Methods (more) 
  • Pathwise Differentiation (more) 
  • Importance Sampling and Control Variates (more) 
  • Vegas in Libor Market Models (more) 
Appendix
  • Markovian Projection (more)