PROGRAMMING
C++ (ordered by level of difficulty)
Problem Solving with C++ (9th Edition) by Walter Savitch
C++ How to Program (8th Edition) by Harvey Deitel
Absolute C++ (5th Edition) by Walter Savitch
Thinking in C++: Introduction to Standard C++, Volume One by Bruce Eckel
Thinking in C++: Practical Programming, Volume Two by Bruce Eckel
The C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)
Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot Myers
C++ Primer (4th Edition) by Stanley Lippman
C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi
Financial Instrument Pricing Using C++ by Daniel Duffy
C# (ordered by level of difficulty)
C# 2010 for Programmers (4th Edition)
Computational Finance Using C and C# by George Levy
C# in Depth, Second Edition by Jon Skeet
F# (ordered by level of difficulty)
Programming F#: An introduction to functional language by Chris Smith
F# for Scientists by Jon Harrops (Microsoft Researcher)
Real World Functional Programming: With Examples in F# and C#
Expert F# 2.0 by Don Syme
Beginning F# by Robert Pickering
Matlab (ordered by level of difficulty)
Matlab: A Practical Introduction to Programming and Problem Solving
Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)
Excel
Excel 2007 Power Programming with VBA by John Walkenbach
Excel 2007 VBA Programmer’s Reference
Financial Modeling by Simon Benninga
Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets
Excel 2007 Formulas by John Walkenbach
VBA
Advanced modelling in finance using Excel and VBA by Mike Staunton
Implementing Models of Financial Derivatives: Object Oriented Applications with VBA
Python
Learning Python: Powerful Object-Oriented Programming
Python Cookbook
FINITE DIFFERENCES
Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. Howison
Pricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt Randall
Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approachby Daniel Duffy
MONTE CARLO
Monte Carlo Methods in Finance, by Peter Jäcke (errata available at jaeckel.org)
Monte Carlo Methodologies and Applications for Pricing and Risk Management , by Bruno Dupire (Editor)
Monte Carlo Methods in Financial Engineering, by Paul Glasserman
Monte Carlo Frameworks in C++: Building Customisable and High-performance Applications by Daniel J. Duffy and Joerg Kienitz
Risk Management and Simulation by Aparna Gupta
STOCHASTIC CALCULUS
Stochastic Calculus and Finance by Steven Shreve (errata attached)
Stochastic Differential Equations: An Introduction with Applications by Bernt Oksendal
VOLATILITY
Volatility and Correlation, by Riccardo Rebonato
Volatility, by Robert Jarrow (Editor)
Volatility Trading by Euan Sinclair
INTEREST RATE
Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio updates available on-line Professional Area of Damiano Brigo's web site
Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato
Interest-Rate Option Models, by Riccardo Rebonato
Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser
Interest Rate Modelling, by Nick Webber, Jessica James
FX
Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
Mathematical Methods For Foreign Exchange, by Alexander Lipton
STRUCTURED FINANCE
The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation(Hardcover) by Sylvain Raynes and Ann Rutledge
Salomon Smith Barney Guide to MBS & ABS, Lakhbir Hayre, Editor
Securitization Markets Handbook, Structures and Dynamics of Mortgage- and Asset-backed securities by Stone & Zissu
Securitization, by Vinod Kothari
Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (good for understanding the basics)
Structured Finance Modeling with Object-Oriented VBA (a bit more detailed and advanced than the step by step book)
STRUCTURED CREDIT
Collateralized Debt Obligations, by Arturo Cifuentes
An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner (really good read, especially on how to model correlated default events & times)
Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
Structured Credit Portfolio Analysis, Baskets and CDOs by Christian Bluhm and Ludger Overbeck
RISK MANAGEMENT/VAR
VAR Understanding and Applying Value at Risk, by various authors
Value at Risk, by Philippe Jorion
RiskMetrics Technical Document RiskMetrics Group
Risk and Asset Allocation by Attilio Meucci
SAS/S/S-PLUS
The Little SAS Book: A Primer, Fourth Edition by Lora D. Delwiche and Susan J. Slaughter
Modeling Financial Time Series with S-PLUS
Statistical Analysis of Financial Data in S-PLUS
Modern Applied Statistics with S
HANDS ON
Implementing Derivative Models, by Les Clewlow, Chris Strickland
The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug
NOT ENOUGH YET?
Energy Derivatives: Pricing and Risk Management, by Les Clewlow, Chris Strickland
Hull-White on Derivatives, by John Hull, Alan White 1899332456
Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)
Market Models, by C.O. Alexander
Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow
Black-Scholes and Beyond, by Neil A. Chriss
Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander
Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander

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