From A Wiki of Ice and Fire
Volon Therys is a town on the eastern continent. It lies on the west bank of the Rhoyne. During the second spice war, the town faced a battle against the host of Prince Garin the Great.Almost directly across the river to the east lies the ruined city Sar Mell. To the north is Valysar, to the west, the Orange Shore and to the south along the Rhoyne, Volantis.
Volon Therys is a walled town, so large that it would be considered a city in the Seven Kingdoms.  The town’s walls are high and white. There is a long, chaotic riverfront. The town was built and inhabited by Valyrians expanding to the West after the Ghis wars. During the second spice war, the town faced a battle against the host of the Rhoynish Prince Garin the Great. The Valyrians numbered 100,000 and had three dragonlords. The Rhoynish troops were protected by the water wizards and archers managed to kill two dragons and drive away the other. The Valyrians lost the battle and Volon Therys was flooded. 
A Dance with Dragons
The Shy Maid arrives at Volon Therys and is tied up in one of the meaner sections of the long chaotic riverfront. A ferocious southern sun beats down upon the crowded riverfont.
Haldon goes into the city and purchases three horses, which are not the best horseflesh, but with the Dothraki across the river, half the populace of Volon Therys has decided they would sooner be elsewhere. Griff, Haldon and Young Griff ride the horses to rendezvous with the Golden Company who are camped beside a river. 
In Volantis at the Merchant's House Ser Jorah Mormont tells Tyrion Lannister that last night the talk was all of Westeros. Some exiled lord has hired the Golden Company to win back his lands for him. Half the captains in Volantis are racing upriver to Volon Therys to offer him their ships.