General textbooks

• Options, Futures and Other Derivatives, John Hull
• The Concepts and Practice of Mathematical Finance, Mark Joshi

Asset Pricing

• Asset Pricing (Revised Edition), Cochrane, John H. Princeton University Press, 2009.
• Financial Decisions and Markets: A Course in Asset Pricing, Campbell, John Y. Princeton University Press, 2017.
• Asset pricing and portfolio choice theory, Back, Kerry. Oxford University Press, 2010.

Option pricing and stochastic calculus

• Financial Calculus: An Introduction to Derivative Pricing, Martin Baxter and Andrew Rennie
• Arbitrage Theory in Continuous Time, Tomas Björk
• Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Steven Shreve
• Stochastic Calculus for Finance II: Continuous-Time Models, Steven Shreve
• Martingale Methods in Financial Modelling, Marek Musiela and Marek Rutkowski
• Mathematical Methods for Financial Markets, Monique Jeanblanc, Marc Yor, and Marc Chesney

#Asset Classes

Equity Derivatives:

• Equity derivatives, Marcus Overhaus et al.
• Equity Hybrid Derivatives, Marcus Overhaus et al.
• The Volatility Surface, Jim Gatheral
• Stochastic Volatility Modeling, Lorenzo Bergomi

FX Derivatives:

• Foreign Exchange Option Pricing, Iain J. Clark
• FX Options and Smile Risk, Antonio Castagna
• FX Options and Structured Products, Uwe Wystup

Commodity Derivatives:

• Commodity Option Pricing, Iain J. Clark
• Commodities and Commodity Derivatives, Helyette Geman

Interest Rate Derivatives:

• Interest Rate Option Models, Rebonato
• Interest Rate Models – Theory and Practice (with Smile, Inflation and Credit), Damiano Brigo and Fabio Mercurio
• Interest Rate Modeling I, II & III, Leif B. G. Andersen and Vladimir V. Piterbarg

Inflation Derivatives:

• Interest Rate Models – Theory and Practice (with Smile, Inflation and Credit), Damiano Brigo and Fabio Mercurio

Credit Derivatives:

• Credit Risk - Modeling, Valuation & Hedging, Tomasz R. Bielecki and Marek Rutkowski
• Modelling Single-name and Multi-name Credit Derivatives, Dominic O’Kane
• Interest Rate Models – Theory and Practice (with Smile, Inflation and Credit), Damiano Brigo and Fabio Mercurio

XVA:

• XVA: Credit, Funding and Capital Valuation Adjustments, Andrew Green
• Counterparty Credit Risk, Collateral and Funding, Damiano Brigo, Massimo Morini, and Andrea Pallavicini

Quantitative Risk Management

• Quantitative Risk Management: Concepts, Techniques and Tools, Alexander J. McNeil, Rudiger Frey, and Paul Embrechts

Mathematics

Probability and Stochastic Processes:

• Probability, A.N. Shiryaev
• Probability, Leo Breiman
• Stochastic Calculus and Applications, Samuel N. Cohen and Robert J. Elliott

Statistics:

• Statistical Inference, George Casella and Roger Berger
• Theoretical Statistics - Topics for a Core Course, Robert W. Keener
• Time Series Analysis, James Hamilton
• The econometrics of financial markets, Campbell, John Y., Andrew Wen-Chuan Lo, and Archie Craig MacKinlay. Vol. 2. Princeton, NJ: Princeton University Press, 1997.

Programming

• C++ Design Patterns and Derivatives Pricing, Mark Joshi

Interviews

• Quant Job Interview Questions and Answers, Mark Joshi
• Heard on the Street: Quantitative Questions from Wall Street Job Interviews, Timothy Crack

Being a quant

• My Life as a Quant: Reflections on Physics and Finance, Emanuel Derman
• The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It, Scott Patterson
• A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market, Edward Thorpe