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I am an engineer with a good math and statistics background. I am looking for a few advanced good books on option pricing, but without the usual math jargon of sigma algebra etc. In other words, a option pricing book for engineers, heavy on math, but not with the math nuisance of pure math. Thank you.

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    $\begingroup$ Many books out there, but Shreve's second volume is the ultimate book that you need to try if you are serious for financial ennineering. $\endgroup$ – Gordon Apr 20 '17 at 23:27
  • $\begingroup$ Heavy on maths, but not pure maths?? You want something but don't want something?? $\endgroup$ – SmallChess Apr 20 '17 at 23:53
  • $\begingroup$ @ smallChess: My preference to avoid pure math books can be understood in the 'lebesgue integral and airplane design' sense. I respect people who use pure math, but I prefer applied math. $\endgroup$ – km1234 Apr 21 '17 at 0:18
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I'm an engineer myself, so maybe I'll share my experience?

If you're serious about financial mathematics, you should read Shreve's book. You can probably just ignore sigma fields, Borel sets etc. Most importantly you should study about the risk neutral measure. It's not an advanced book.

@Mark's book is simple to read but the mathematics is not "heavy". It's a good reference book if you don't have time to go through the details. It's not an advanced book either (written for university level).

Paul Wilmott's book is even easier to read. Very simple formulas and explanation.

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well, my book Concepts and Practice of Mathematical Finance tries to take a more engineering perspective.

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