1. Applied mathematics (stochastic calculus, probability and statistics, stochastic processes, optimization, financial economics)

probability:
Introduction to Probability and Application (in Chinese)
by Wang Zhiqun (Undergraduate, very good introduction)
An Introduction to Probability and Its Applications
Vol. I, and II, Wiley, 1971
A Course in Probability
K.L. Chung (Graduate level)

Analysis: (For mathematicians to be)
Real Analysis
Royden,
real and complex analysis
W. Rudin, available in China

stochastic processes:
Stochastic Differential Equations
Bernt Oksendal, Springer-Verlag
Brownian Motion and Stochastic Calculus
I. Karatzas and S. Shreve , Springer-Verlag
Lectures from Markov Processes to Brownian Motion
K.L. Chung, Springer-Verlag
Continuous Martingales and Brownian Motion
Daniel Revuz and Marc Yor, Springer-Verlag
A First Course in Stochastic Processes
Samual Karlin and Howard Taylor, Academic Press.
A Second Course in Stochastic Processes
Samual Karlin and Howard Taylor, Academic Press.

Statistics:
The Advanced Theory of Statistics, Vol. I, II, III,
Maurice Kandall and Alan Stuart.(old, clearly written)
Time Series: Theory and Methods
Brockwell and Davis, Springer-Verlag (Good, but lack ARCH, GARCH, EGARCH etc newer stuff)

Partial Differential Equations
Partial Differential Equations
C. Evans, available in China optimization
Linear and Nonlinear Programming
by David G. Luenberger
Nonlinear Programming, Theory and Algorithms
Bazarra, Sherali, Shetty John Wiley and Sons.

Numerical Methods and Programming
Numerical Receipes in C, The Art of Scientific Computing
W. Press, S. Taukoisky el., Cambridge U. Press.

Best value for the money
Investment Analysis and Portfolio Management:
1. Investments
By Zvi Bodie, Alex Kane and Markus, 5th Edition
《投资学》（原书第5版） 美.博迪等著朱宝宪等译 机械工业出版社 2003年03月出版
(图书馆里中英文都有,推荐)
2. Investment Analysis and Portfolio Management
by Frank K. Reilly, Keith C. Brown
《投资分析与组合管理》(第6版,全英文)美.弗兰克.K.赖利等著 中信出版社 2002年05月出版 CFA指定教材
(图书馆里有中英文,推荐购买)
3. Investments (6th Edition)
William F. Sharpe, Gordon J. Alexander, Jeffery V. Bailey, William C. Sharpe
《投资学》（第5版上、下两册）（美）威廉夏普等著 赵锡写等译 中国人民大学出版社 2002年10月出版 Classic, emphasis on fundamental operational, short on practical application and depth.
(清华大学出版社有英文影印版, 图书馆有)
4. Modern Investment Theory (5th Edition)
by Robert A. Haugen; 《现代投资理论》)(英文原版)（原书第5版） Robert A. Haugen著 北京大学出版社 2002-1-1 Good presentation and balance. Not the efficient camp.
(图书馆有英文影印版, 推荐阅读)
5. Modern Portfolio Theory and Investment Analysis
by Edwin J. Elton (Author), Martin J. Gruber (Author), Stephen J. Brown (Author), William N. Goetzmann (Author) , do you know is it available in China?
Classic, emphasis on fundamental operational, short on practical application and depth.
(绝对经典, 但好像图书馆没有)
6. Modern Investment Theory (5th Edition)
by Robert A. Haugen;
(同4)
7. Modern Portfolio Theory and Investment Analysis
by Edwin J. Elton (Author), Martin J. Gruber (Author), Stephen J. Brown (Author), William N. Goetzmann (Author) Good.
(同5)
Derivatives
Options, Futures, and Other Derivatives (5th Edition)
by John C. Hull good
(第四版中英文版国内都有, 但是国内好像没有第五版)
Derivative Securities
by Robert Jarrow, Stuart Turnbull good
(图书馆有英文原版, 多使用"鞅", 但不要借出来—因为系统原因, 你再还不掉该书了, 书已经还了, 借书卡内还有该书,^_^)
Dynamic Asset Pricing Theory, Third Edition.
by Darrell Duffie

Game Theory
Game Theory for economists: Introductory,
Game Theory for Applied Economists
by Robert Gibbons
(国内有中文版, 推荐)
Game Theory: Analysis of Conflict
by Roger B. Myerson

More complete, graduate level:
Game Theory
by Drew Fudenberg (Author), Jean Tirole (Author) (Hardcover)

Mathematical:
A Course in Game Theory
by Martin J. Osborne, Ariel Rubinstein (Paperback)

6.Fixed Income

Fixed Income Markets and Their Derivatives
(Suresh M. Sundaresan, South-Western College Publishing, 1997)Good:
Fixed Income Securities University Edition
Bruce Tuckman (John Wiley & Sons, Inc., 1995)

Reference:
The Handbook of Fixed Income Securities, Fourth Edition,
Frank J. Fabozzi and T. Dessa Fabozzi, eds. (Irwin, 1995)
(图书馆有影印版, 在二楼借阅台后书架上---可惜只能挑灯了, 绝对经典)
Modelling Fixed Income Securities and Interest Rate Options (2nd Edition)
by Robert A. Jarrow
The Handbook of Mortgage-Backed Securities, Fourth Edition
Frank J. Fabozzi, ed. (Probus, 1995)


International Banking:
Financial Institutions Management, Fourth Edition
by Anthony Saunders and Marcia Cornett
Value at Risk
Philippe Jorion (Irwin Professional Publishing, 1997)
(中信出版社已翻译, <VAR风险价值管理>, 图书馆有)

Computational Finance Links
Public domain numerical software: NETLIB GNU Scientific Library
FFT code
Basel Committee on Banking Supervision, "Bank's Interactions with Highly Leveraged Institutions," http://www.bis.org/publ/bcbs45.htm
Recreational Readings:
Manias, panics, and crashes : a history of financial crises
Charles Kindleberger
(图书馆有, <大众性幻想和群众性癫狂>)
The New Market Wizards: Conversations with America's Top Traders
Jack D. Schwager
(图书馆有)
When Genius Failed: The Rise and Fall of Long-Term Capital Management
Roger Lowenstein
(经典著作, 图书馆有,<创造金钱>)
Liar's Poker: Rising Through the Wreckage on Wall Street
Michael Lewis
Against the Gods: The Remarkable Story of Risk Peter L. Bernstein
Fooled By Randomness: The Hidden Role of Chance in Markets and Life
Nassim Taleb
Why Stock Markets Crash: Critical Events in Complex Financial Systems
Didier Sornette
Enron and California electricity market deregulation fraud
http://www.people.fas.harvard.ed ... ation_deception.pdf