 | The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk) by Mark S. Joshi
Buy used from: $44.99 My supervisor's first financial mathematics book. I regard that as one of the best intro books on mathematical finance. It gives you both intuitions and theoreis at the same time. In addition, this book even includes some advanced models such as Variance-Gamma. In particular, chapter 14 is worth all the money as no other book has such a straigtforward and clear introduction on BGM implementations!
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 | Financial Calculus : An Introduction to Derivative Pricing by Martin Baxter
Buy new: $61.30 / Used from: $44.95 An easy-to-read intro to financial mathematics. It gives lots of intuitions while not losing much rigour. One drawback being that the chapter on interest rate is not good enough compared with other chapters. The authors should definitely expand that chapter if they plan to release a second edition.
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 | Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) (v. 2) by Steven E. Shreve
Buy new: $48.36 / Used from: $47.23 I read this one after finishing 'Concepts', this book introdues Brownian motion, stochastic calculus from a more technical approach. The chapters on risk-neutral valuation and term structure models are pretty good.
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 | Interest Rate Models: An Introduction by Andrew J. G. Cairns
Buy new: $38.55 / Used from: $19.86 The book introduces interest rate modelling techniques which is different to equity modelling. The book covers short rate, forward rate (HJM) and libor market models. However, the implementation of those models is barely mentioned.
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 | Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) by Damiano Brigo
Buy new: $57.00 / Used from: $50.50 Only read chaps 1, 2 and 6. In my opinion, chapter 6 is just a more detailed account of LMM compared with Mark's chap 14 of concepts.
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 | Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond by Riccardo Rebonato
Buy new: $66.82 / Used from: $59.98 This book presents the philosophical aspects of the LIBOR market model. It also covers the calibration aspects of the LMM in some detail.
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 | Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability) (v. 53) by Paul Glasserman
Buy new: $48.36 / Used from: $39.99 The encyclopaedia of MC methods applied in quantitative finance. Detailed explanations and implementations of different methods are given in the book.
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 | Monte Carlo Methods in Finance by Peter Jaeckel
Buy new: $95.53 / Used from: $44.75 This slim book can be used as a complement to Glasserman's book (the price is a bit high though).
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 | The Volatility Surface: A Practitioner's Guide (Wiley Finance) by Jim Gatheral
Buy new: $40.95 / Used from: $33.90 The notations are a bit confusing and the book has many typos. If these can be corrected, it would have been a very good book.
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 | Introduction to Complex Analysis by H. A. Priestley
Buy new: $50.00 / Used from: $33.75 Current wednesday reading group book -- Joshi says the first edition is much better. In this 2nd edition, it takes 9 chapters to start learning the core Cauchy integral theorems...
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 | Probability with Martingales (Cambridge Mathematical Textbooks) by David Williams
Buy new: $44.38 / Used from: $18.91 The book reward perseverance. Maybe I'm not bright enough, but every time I read it I think I will learn something from it.
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 | Principles of Mathematical Analysis, Third Edition by Walter Rudin
Buy new: $93.75 / Used from: $49.95 It's in Joshi's recommended booklist!
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 | C++ How to Program (5th Edition) by Harvey & Paul) Deitel & Deitel
Buy used from: $10.98 Mark tells us to learn the basic C++ syntax and OOP from this book. Although the book has 1000+ pages, it has lots of examples to show you how to program in C++. Definitely a first book for anyone who has not done much programming before.
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 | C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) by M. S. Joshi
Buy new: $37.12 / Used from: $35.00 Mark's book on C++ shows how you can improve the efficiency of your program through use of classes, wrappers, and different design patterns. However it is not a first book, Mark asks us to read Deitel & Deitel's 'C++ How to program' before tackling his book.
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 | Quant Job Interview Questions And Answers by Mark Joshi
Buy new: $39.20 / Used from: $70.15 This book should be a 'must-have' for your interview preparation in that it has a broad coverage of theories (maths, probability, option pricing & interest rate) and implementations (C++ coding).
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