Carson Baker

The Con­cepts and Prac­tice of Math­e­mat­i­cal Finance
by Mark S. Joshi, 2003
One of the most suc­cinct, to-the-point expla­na­tions of what finance is all about. Joshi, in very clear words, turns the theory into com­plete understanding.

My Life as a Quant
by Emanuel Derman, 2007

For those con­sid­er­ing jobs as Quants, this memoir leaves you with plenty of inspi­ra­tion, but little prac­ti­cal insight.

Sta­tis­ti­cal Arbi­trage
by Andrew Pole, 2007

A decent numer­i­cal guide to the guid­ing prin­ci­ples behind stat arb. Very sim­i­lar to other Wiley Finance books.

The (Mis) Behav­ior of Mar­kets
by Benoit B. Mandelbrot

Man­del­brot—with­out ques­tion—is one of the most influ­en­tial, yet under-​appreciated fig­ures in com­plex­ity, math, and finance. This book should be required read­ing for any risk man­ager, trader, or economist.