 | Efficient Methods for Valuing Interest Rate Derivatives (Springer Finance) by Antoon Pelsser
Buy new: £53.20 / Used from: £10.58 Libor Market Model clearly explained
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 | Credit Derivatives Pricing Models: Models, Pricing and Implementation (The Wiley Finance Series) by Philipp J. Schönbucher
Buy new: £46.98 / Used from: £39.99 The book on credit derivatives pricing models...excellent companion for the following one...
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 | Credit: The Complete Guide to Pricing, Hedging and Risk Management
Buy new: £94.05 / Used from: £92.28 Nice book on credit derivatives pricing models...interesting chapters on hedging credit risk
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 | Interest Rate Models: Theory and Practice (Springer Finance) by Damiano Brigo
Buy used from: £84.99 "The" book on interest rate models implementation
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 | Correlation and Dependence by Samuel Kotz
Buy new: £49.40 / Used from: £29.50 comprehensive excursion on dependence measure in scientific problems
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 | Implementing Derivative Models by Les Clewlow
Buy new: £61.97 / Used from: £54.44 A great book which tells you how efficiently implement equity and short rate models
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 | Martingale Methods in Financial Modelling (Applications of Mathematics) by M Musiela
Buy used from: £36.05 the best text on martingale techniques for valuing equity and interest rate derivatives
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 | Numerical Solution of Partial Differential Equations: Finite Difference Methods (Oxford Applied Mathematics and Computing Science Series) by G. D. Smith
Buy new: £34.72 / Used from: £29.03 Compact and complete exposition on finite difference schemes..needed to numerically evaluate greeks
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 | Probability Essentials (Universitext) by Jean Jacod
Buy used from: £133.01 rigorous guide to modern theory of applied probability
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 | Numerical Methods Using MATLAB by John H. Mathews
Buy used from: £4.55 applied text on numerical analysis
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 | Monte Carlo Methods in Finance by Peter Jäckel
Buy new: £43.00 / Used from: £32.00 advanced text on montecarlo methods...nice chapter on LMM and swaption bermudan pricing
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 | Numerical Methods in Finance: A MATLAB-based Introduction (Wiley Series in Probability and Statistics) by Paolo Brandimarte
Buy used from: £69.71 How to use Matlab in financial application...useful for MonteCarlo and QuasiMontecarlo
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 | An Introduction to Credit Risk Modeling (Chapman & Hall/CRC Financial Mathematics Series) by Christian Bluhm
Buy new: £50.11 / Used from: £62.94 credit risk and credit derivatives useful reference
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 | From Elementary Probability to Stochastic Differential Equations with MAPLE (Universitext) by Sasha Cyganowski
Buy new: £43.99 / Used from: £39.98 useful chapters on numerical solution of SDEs
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 | Risk Neutral Valuation: Pricing and Hedging of Financial Derivatives (Springer Finance) by Nicholas H. Bingham
Buy used from: £57.01 How stochastic calculus is applied on finance
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 | Basic Stochastic Processes: A Course Through Exercises (Springer Undergraduate Mathematics): A Course Through Exercises (Springer Undergraduate Mathematics) (Springer Undergraduate Mathematics Series) by Zdzislaw Brzezniak
Buy new: £17.46 / Used from: £14.00 In case some stochastic calculus background is needed
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