Clear and direct.

Again, a book I wish I'd read first before spending years vaguely knowing little enough to get by.

Instead of "Statistics 101" this is the approach you should take.

Joshi writes "This book is a joy to read. The author takes a subject often regarded as hard and makes it easy, whilst making it come alive with a chatty informal style. All this without sacrificing rigour. Definitely one of my favourite maths books." I agree.

This is probably the most difficult leap: integration of probability spaces. Very detailed, and assumes a lot of continuous time mathematics. For folks who will be modeling complex structured products with work far beyond joint probability distribution actuarial math, you'll need this. For hacks like me, maybe in another lifetime.

the big kahuna. Granted, I *had* to read this book. And to this day I understand only 10% of it, but still, this is Merton's real work, not the Merton model or B-S.

This is the PDE approach and my first "quantfin" book. Unfortunately, it got me off into fruitless work in fluid mechanics that I never understood and has zero application to what I do, so take the bibliography and cited authors with a grain of salt.

You thought Robert Merton's was good enough? Noooooooooooooooo. Physicists and mathematicians comming to finance will probably be more at home with Shreve over Merton.

Rama Cont is the personable coordinator of much of the FinMath community in Paris, and has written this excellent book. However, this is aimed at *very* well trained in math, as Rama assumes pretty good familiarity with the differences between Levy processes and Poisson, etc. This is a world beyond Brownian motion and Ito, so be prepared for them trying to make that unknown-unknown tractable.

this book is about the best there is, but you need to combine this knowledge with a law degree and the morals of a snake and excellent smoozy contacts with bankers to successfully trade CDS nowadays, as succession issues and over-the-Chinese-wall deal making by hedge funds are unmodelable under these conditions. Currently game theory, poker, and prisoner's dilemma still rule the cds game.

Front and middle office quants who do MC must have this book. It is just flat essential.