Hi, I just have a few beginner questions or IR modeling

IR modeling is all about using stochastic calculus and asset pricing techniques to impose stochastic factors or IR paths/behavior on short rates. Then one can extrapolate out in time with other factors such as volatility or underlying rate assumptions to construct an entire term structure, which then an option/swaption can then be priced. (correct me if I'm wrong)

For Cash/Swaps/Futures, what is the relevance or use of IR modeling? 

In banks, are people still actively doing this or more regulatory capital/CVA work for IR products?

What about it's relevance to mortgages? On the prepayment side, do they use any modeling or just vary prepay speeds/monte carlo simulations. 

In terms of books, I know that Mercurio's is an oldie, but a classic and Andersen's is the new standard (though I don't know if he's going to come out with a new edition). What other books or resources do you recommend? 

Hi, I just have a few beginner questions or IR modeling

IR modeling is all about using stochastic calculus and asset pricing techniques to impose stochastic factors or IR paths/behavior on short rates. Then one can extrapolate out in time with other factors such as volatility or underlying rate assumptions to construct an entire term structure, which then an option/swaption can then be priced. (correct me if I'm wrong)

For Cash/Swaps/Futures, what is the relevance or use of IR modeling? 

In banks, are people still actively doing this or more regulatory capital/CVA work for IR products?

What about it's relevance to mortgages? On the prepayment side, do they use any modeling or just vary prepay speeds/monte carlo simulations. 

In terms of books, I know that Mercurio's is an oldie, but a classic and Andersen's is the new standard (though I don't know if he's going to come out with a new edition). What other books or resources do you recommend? 

IR modeling is all about using stochastic calculus and asset pricing techniques to impose stochastic factors or IR paths/behavior on short rates. Then one can extrapolate out in time with other factors such as volatility or underlying rate assumptions to construct an entire term structure, which then an option/swaption can then be priced. (correct me if I'm wrong)

/// When you imposed a stoch model for IR it already implies that all parameters of the model are defined including "volatility or underlying rate assumptions to construct an entire term structure".///

For Cash/Swaps/Futures, what is the relevance or use of IR modeling? 

///When you looked at the pricing of these instruments with constant deterministic ir you can easy note that in stoch setting of the problem you should replace constant ir by stochastic and take real or risk neutral probability expectation depending whether  or not BS's hedging is applied.

 capital/CVA work for IR products
///if we take into account possibility of default they used more secure schemes which minimizing possible losses.

What about it's relevance to mortgages? 
///ir itself is a factor that affect mortgage rates. But there are other factors that could change mortgage rates.
 

In terms of books, I know that Mercurio's is an oldie, but a classic and Andersen's is the new standard (though I don't know if he's going to come out with a new edition). What other books or resources do you recommend? 

I like Bjork's "Arbitrage theory in continuous time" for an introduction to IR modelling in the latter chapters (and an excellent introduction in general to concepts). Baxter and Rennie's "Financial calculus" is another good one. Both are expectation pricing oriented. For PDE pricing oriented I'd suggest Wilmott's PWOQF. IMHO these three books really give you a solid grounding.
For more advanced books indeed Piterbarg, but also Pelsser, Filipovic, Gatarek, when it comes to rates specific.

In terms of books, I know that Mercurio's is an oldie, but a classic and Andersen's is the new standard (though I don't know if he's going to come out with a new edition). What other books or resources do you recommend? 

I like Bjork's "Arbitrage theory in continuous time" for an introduction to IR modelling in the latter chapters (and an excellent introduction in general to concepts). Baxter and Rennie's "Financial calculus" is another good one. Both are expectation pricing oriented. For PDE pricing oriented I'd suggest Wilmott's PWOQF. IMHO these three books really give you a solid grounding.
For more advanced books indeed Piterbarg, but also Pelsser, Filipovic, Gatarek, when it comes to rates specific.

I think that Tuckman's IR book(s) are quite good for beginners and intermediate levels.

For once I can follow and agree with you list!

Many thanks,

So let's say I'm trading a treasuries/futures/swaps portfolio, so not as a hedge against options. Then the risk neutral probability and BS hedging you mentioned has little relevance.
What use does IR modeling have for non-derivatives? Does a statistical/data driven method suit my IR and macro outlook more?

Do people still do PDE pricing work anymore? Unless I"m overlooking the physicists, I thought that most mathematicians who work on pricing nowadays are probabilists or statisticians 

If I know stochastic calculus and basic derivative pricing, but not continuous time finance, can I just jump into Andersen?

For Cash/Swaps/Futures, what is the relevance or use of IR modeling? 

One thing that I'm afraid many people don't get is that traders and finance research types (like me) are often interested in different things. 

For example, I have an interest in how short-rate models can be modified to reasonably handle a reachable boundary at r=0 (or something close) -- mainly to describe what we have seen since the Financial Crisis. Some boundary processes I have explored include slow reflection and jump-returns from an absorbing boundary. If you have any interest in that kind of thing, try Ch 1 in the book at the link below.