Other than the books described by @develarist, there are also some alternative considerations which I have grouped into overall subjects:
Financial econometrics/Financial modelling:
Analysis of Financial Time-Series by Ruey S. Tsay. The book gives you a comprehensive introduction to econometric modelling of financial time-series, including stylized facts of financial time-series, linear time-series modelling, volatility modelling, risk-management, high frequency econometrics and much more. Moreover, The author provide R code in the book, to further help your understanding on the implementation of the models. Amazon link.
Econometrics of Financial Markets by John Y. Campbell et al. This textbook is also a very good source for financial modelling. It also contains information about Event-Study analysis, CAPM, multifactor pricing models and much more. Personally, I have not used this book in any academical courses, but my supervisor recommended it to me as a good source of information. Amazon link.
Financial Modeling Under Non-Gaussian Distributions by Eric Jondeau, Michael Rockinger and Ser-Huang Poon. This is another good alternative for financial modelling of asset returns. From personal experience, I believe that the book has a more in-depth view of volatility modelling for portfolio construction and risk-management than Ruey's book. Amazon link.
If you want to get an understanding of quantitative risk-management for a future project, you can always look at:
- Quantitative Risk Management: Concepts, Techniques and tools - Revised edition by Alexander J. McNeil, Rüdiger Frey an Paul Embrechts. I believe this is a widely used textbook for quantitative risk-management courses issued by various universities around the world. Amazon link.
If you have knowledge within machine learning, you can also look at the book:
- Advances in Financial Machine Learning by Marcos Lopez de Prado. Amazon link
Hopefully, this will get you started.