by Leif B. G. Andersen, Vladimir V. Piterbarg
Reading guide
Leif Andersen and Vladimir Piterbarg's three-volume reference has an official companion site with a preface, table of contents, notation guide, sample chapter and errata. Use the contents to select the section relevant to your model before attempting a cover-to-cover reading. Keep the notation guide and corrections beside the text when reproducing a calculation.
Build the bond mathematics and curve vocabulary needed before a specialist model.
Review replication and risk-neutral valuation before extending the pricing framework to rates.