Язык финансовой индустрии.

First steps
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General:
1. Black Scholes and Beyond: Option Pricing Models, N A Chriss
2. Derivative Securities, R Jarrow, S Turnbull
3. Introduction to Mathematical Finance: Discrete Time Models, S R Pliska

Interest rates:
1. Fixed Income Analytics, K Garbade

Stochastic Calculus:
1. An Introduction to the Mathematics of Financial Deivatives, S N Neftci.
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Introductory
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General:
1. Options Markets, J C Cox, M Rubinstein
2. Options, Futures, and Other Derivatives, J C Hull
3. An Introduction to Mathematical Finance: Options and Other Topics, S M Ross
4. Paul Wilmott Introduces Quantitative Finance, P Wilmott.
5. The Mathematics of Financial Derivatives: A Student Introduction, P Wilmott, S Howison, J Dewynne
6. The Complete Guide to Option Pricing Formulas, E G Haug

Interest rates:
Modelling Fixed Income Securities and Interest Rate Options, R A Jarrow

Exotics:
Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes, H M Kat

Stochastic Calculus:
Elementary Stochastic Calculus With Finance in View, T Mikosch.

Computational
A. Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab, E Z Prisman
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Halfway technical
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1.Quantitative Modeling of Derivative Securities From Theory To Practice, M Avellaneda, P Laurence
2.Financial Calculus : An Introduction to Derivative Pricing, M Baxter, A Rennie
3.Arbitrage Theory in Continuous Time, T Bjork
4.Theory of Financial Decision Making, J E Ingersoll
5.Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, R Kiesel, N H Bingham
6.Mathematical Models of Financial Derivatives, Y K Kwok
7.Continuous-Time Finance, R C Merton
8.Paul Wilmott on Quantitative Finance, 2 Volume Set, P Wilmott.
9. Dynamic Hedging, N Taleb

Stochastic Calculus:
Introduction to Stochastic Calculus with Applications, F C Klebaner

Computational:
1. Implementing Derivatives Models, L Clewlow, Chr Strickland
2. Pricing Financial Instruments: The Finite Difference Method, D Tavella, C Randall
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Technical
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General:
1. Options, Futures and Exotic Derivatives, E Briys, M Bellalah, H M Mai, F de Varenne
2. Modelling And Hedging Equity Derivatives, O Brockhaus, A Ferraris, Ch Gallus, D Long, R Martin, M Overhaus
3. Dynamic Asset Pricing Theory, D Duffie
4. Derivatives in Financial Markets With Stochastic Volatility, J-P Fouque, G Papanicolaou, K R Sircar
5. Mathematics of Financial Markets, P E Kopp, R J Elliott
6. Introduction to Stochastic Calculus Applied to Finance, D Lamberton, B Lapeyre, N Rabeau
7. Martingale Methods in Financial Modelling, M Musiela, M Rutkowski
8. Pricing and Hedging of Derivative Securities, L T Nielsen
9. Essentials of Stochastic Finance: Facts, Models, Theory, A N Shiryaev
10. Option Valuation under Stochastic Volatility, A L Lewis
Interest rates:
1. Interest Rate Models Theory and Practice: Theory and Practice, D Brigo, Fabio Mercurio
2. Efficient Methods for Valuing Interest Rate Derivatives, A Pelsser
3. Interest-Rate Option Models: Understanding, Analyzing and Using Models for Exotic Interest-Rate Options, R Rebonato
4. Interest Rate Modelling: Financial Engineering, N Webber, J James

Stochastic Calculus:
1. Brownian Motion and Stochastic Calculus, I Karatzas, S E Shreve
2. Stochastic Differential Equations, B Oksendal
3. Stochastic Calculus and Financial Applications, J M Steele
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Hard core
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General:
1. Security Markets: Stochastic Models, D Duffie
2. Financial Derivatives in Theory and Practice, P J Hunt, J KennedyC. Introduction to Option Pricing Theory, R L Karandikar, G Kallianpur
3. Methods of Mathematical Finance, I Karatzas, S E Shreve

Stochastic Calculus:
1. Continuous Martingales and Brownian Motion, D Revuz, M Yor
2. Diffusions, Markov Processes, and Martingales (two vol.