 | A History of the Theory of Investments: My Annotated Bibliography (Wiley Finance) by Mark Rubinstein
Buy new: $64.90 / Used from: $47.99 The most comprehensive overview available. Ideal as a reference.
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 | Devil Take the Hindmost: A History of Financial Speculation by Edward Chancellor
Buy new: $11.05 / Used from: $3.99 For anyone that still believes that markets are efficient...
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 | Frequently Asked Questions in Quantitative Finance (Wiley Series in Financial Engineering) by Paul Wilmott
Buy new: $56.40 / Used from: $19.99 No student or pro should be without it!
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 | Portfolio Selection: Efficient Diversification of Investments (Cowles Foundation Monograph: No. 16) by Harry M. Markowitz
Buy new: $37.00 / Used from: $17.66 A true classic ! Still worth reading.
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 | Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes by Harry M. Kat
Buy new: $92.96 / Used from: $60.11 Great introduction to the topic
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 | Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk by Richard Grinold
Buy new: $52.30 / Used from: $35.00 A must-have...
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 | Portfolio Construction and Risk Budgeting, Second Edition by Bernd Sherer
Buy used from: $99.00 A must-have for any quantitative asset manager
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 | Market Volatility by Robert J. Shiller
Buy new: $27.10 / Used from: $14.14 A great collection of Shillers work on market inefficiency
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 | Strategic Asset Allocation by John Y. Campbell
Buy new: $55.92 / Used from: $39.65 Fantastic overview
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 | Inefficient Markets: An Introduction to Behavioral Finance (Clarendon Lectures in Economics) by Andrei Shleifer
Buy new: $34.33 / Used from: $25.00 Another great overview
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 | Principles of Financial Engineering (Academic Press Advanced Finance) by Salih N. Neftci
Buy used from: $34.42 A great introduction
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 | Introduction to Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes by Bernd Scherer
Buy new: $75.96 / Used from: $31.69 Another great reference
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 | Dynamic Hedging: Managing Vanilla and Exotic Options (Wiley Finance) by Nassim Nicholas Taleb
Buy new: $69.30 / Used from: $58.94 A classic. Many typos but still worth buying...
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 | Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition) by Paul Wilmott
Buy new: $185.85 / Used from: $160.00 Forget Hull...
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 | Options, Futures and Other Derivatives (6th Edition) by John C. Hull
Buy new: $206.67 / Used from: $29.95 Although I like Wilmott better, this is still worthwhile.
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 | The Panic of 1907: Lessons Learned from the Market's Perfect Storm by Robert F. Bruner
Buy new: $18.87 / Used from: $4.00 Startling parallels...
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 | Can "It" Happen Again? Essays on Instability and Finance by Hyman P. Minsky
Buy new: $26.60 / Used from: $21.99 Great analysis of the credit cycle and the inherent tendency of capitalist economies to overshoot.
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 | The Alchemy of Finance (Wiley Investment Classics) by George Soros
Buy new: $12.97 / Used from: $8.64 Lengthy but worthwhile
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 | Manias, Panics, and Crashes: A History of Financial Crises (Wiley Investment Classics) by Charles P. Kindleberger
Buy new: $12.97 / Used from: $8.38 |
 | Where Are the Customers' Yachts? or A Good Hard Look at Wall Street (A Marketplace Book) by Fred Schwed
Buy used from: $14.03 |
 | Only Yesterday: An Informal History of the 1920s by Frederick Lewis Allen
Buy new: $9.36 / Used from: $2.79 Lets pray history does not repeat itself...
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 | It Was a Very Good Year: Extraordinary Moments in Stock Market History (Wiley Investment) by Martin S. Fridson
Buy new: $37.95 / Used from: $0.01 A great book for kindling hope in dark days...
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 | Mathematical Techniques in Finance: Tools for Incomplete Markets by Ales Cerny
Buy used from: $18.00 A great reference
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 | Influence: The Psychology of Persuasion (Collins Business Essentials) by Robert B. Cialdini
Buy new: $12.23 / Used from: $10.40 Maybe not strictly finance but a fantastic book nontheless
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 | Derivatives Models on Models by Espen Gaarder Haug
Buy new: $51.43 / Used from: $32.99 For the real derivative freak ...
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 | Irrational Exuberance: Second Edition by Robert J. Shiller
Buy new: $23.10 / Used from: $6.16 Shiller "light"
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 | The Econometrics of Financial Markets by John Y. Campbell
Buy new: $78.75 / Used from: $35.00 |
 | Volatility and Correlation: The Perfect Hedger and the Fox (Wiley Finance) by Riccardo Rebonato
Buy new: $100.03 / Used from: $79.99 If you are really into exotics, this is a must-have. Quite lengthy though...
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