 | Credit Derivatives Pricing Models: Models, Pricing and Implementation (The Wiley Finance Series) by Philipp J. Schönbucher
Buy new: £47.10 / Used from: £38.00 A good book on modelling credit derivatives
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 | Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond by Riccardo Rebonato
Buy new: £45.89 / Used from: £40.38 A reference for IR modelling but a bit too verbiose
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 | Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (Springer Finance) by Damiano Brigo
Buy new: £45.39 / Used from: £41.94 IR and Credit derivatives latest models
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 | Elementary Stochastic Calculus, with Finance in View: 6 (Advanced Series on Statistical Science & Applied Probability) by Thomas Mikosch
Buy new: £24.14 / Used from: £18.38 A nice and elegant small book to introduce financial mathematics
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 | An Introduction to the Mathematics of Financial Derivatives, Second Edition (Academic Press Advanced Finance) by Salih N. Neftci
Buy new: £28.50 / Used from: £24.88 The reference
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 | Arbitrage Theory in Continuous Time (Oxford Finance Series) by Tomas Björk
Buy new: £36.02 / Used from: £31.98 My favourite presentation of continuous maths
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 | Risk Management by Michel Crouhy
Buy new: £34.08 / Used from: £20.00 This is the best book I have read so far on risk.
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 | An Introduction to the Commodities, Energy and Transport Markets (Reuters Financial Training) by Reuters Limited London UK
Buy used from: £453.89 Good intro book on pratical aspect of commodities markets
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 | Financial Calculus: An Introduction to Derivative Pricing by Martin Baxter
Buy new: £34.85 / Used from: £33.04 The other reference ...
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 | The Mathematics of Financial Derivatives: A Student Introduction by Jeff Dewynne
Buy new: £22.93 / Used from: £21.20 If you are allergic to probability and still want to be a quant
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 | Capital Market Instruments by M Choudhry
Buy used from: £35.36 Not bad
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 | Numerical Recipes in C book set: Numerical Recipes in C: The Art of Scientific Computing by William H. Press
Buy new: £45.00 / Used from: £27.99 A classic if you need coding
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 | Modeling, Measuring and Hedging Operational Risk (The Wiley Finance Series) by Marcelo G. Cruz
Buy new: £68.00 / Used from: £44.30 Operational risk in theory. The best book on the subject but still far from reality
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 | Advanced Modelling in Finance Using Excel and VBA (The Wiley Finance Series) by Mary Jackson
Buy new: £44.49 / Used from: £38.93 Intro to coding
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 | Modeling Derivatives in C++ (Wiley Finance) by Justin London
Buy new: £38.66 / Used from: £21.00 not sure I like it
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 | Options, Futures and Other Derivatives by John C. Hull
Buy used from: £20.00 Always the reference
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 | Value at Risk: The Benchmark for Controlling Market Risk by Philippe Jorion
Buy used from: £40.00 Would sell mine...
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 | Elementary Statistics Using Excel (Triola) by Mario F. Triola
Buy used from: £4.29 simple, easy to understand...a good start for stats
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