1. Futures, Options and other derivatives——John Hull
2.Option market——Rubinstein
3. Fundamentals of Futures and Options Markets——JOHN Hull
4. Risk Management and Financial Institutions——John Hull

5.Dynamic asset pricing theory——Duffie
6.Security markets: stochastic models——Duffie
7.methods of mathematical finance——Karatzas&Shreve
8.Brownian motion and stochastic calculus——Karatzas&Shreve
金融数学领域很著名的一本数学书籍
9.Martingales methods in financial modeling——Musiela&Rutkowski
鞅定价的经典书籍
10. Financial calculus for finance I&II——Shreve

11.Finite Difference Methods in Financial Engineering——Daniel J. Duffy

12.Implementing Models in Quantitative Finance: Methods and Cases——Fusai Roncoroni

13.Mathematical Models of Financial Derivatives——Kwok

14.PRINCIPLES OF FINANCIAL ENGINEERING——Neftci

一般都比较熟悉hull的书，但是真的说有关金融工程思想的书，要属这本书了，把金融工程思想介绍得很详细

15. Introduction to Mathematical Finance——Pliska

16. Arbitrage theory in continuous time——by Tomas Bjork
17. Financial Calculus——Martin Baxter& Rennie
18.Stochastic differential equations——Oksendal*
19.Stochastic integration and differential equations——Protter
20.Modern Pricing of interest rate derivatives——Rebonato
21.Credit derivatives pricing models——Schonbucher
22. Copula methods in Finance——Umberto Cherubini.
23. Monte Carlo methods in fianncial engineering——Paul Glasserman
24. Monte Carlo in finance——Peter Jackel
25.Financial modelling with jump process——Rama Cont
26. Levy processes in finance——Wim shouten
27.continuous time finance——merton
Paul Wilmott on Quantitative Finance是本很好启蒙书，涉猎很广，而且非常非常详细，通俗易懂