The solid - I'll call it R - is best described in spherical coordinates:
[tex]R = \left\{(\rho,\theta,\varphi) \mid \sqrt{a}\le\rho\le\sqrt{b}, 0\le\theta\le2\pi, 0\le\varphi\le\dfrac\pi4\right\}[/tex]
Then the volume of R is
[tex]\displaystyle\iiint_R\mathrm dV = \int_0^{\frac\pi4}\int_0^{2\pi}\int_{\sqrt a}^{\sqrt b}\rho^2\sin(\varphi)\,\mathrm d\rho\,\mathrm d\theta\,\mathrm d\varphi \\\\\\ \displaystyle = \boxed{\frac{2\pi}3\left(b^{\frac32}-a^{\frac32}\right)\left(1-\dfrac1{\sqrt2}\right)}[/tex]
