I will give my opinion on Fin Maths books that I have seen. 1. Neftci, An Introduction to the Mathematics of Finacial Derivatives, 1996. Very good and book at the beginners level. Despite simple maths he managed to bring in quite sophisticated aspects of Maths Finance. A must to read for anyone especially if you a beginner.

Wilmott, Howison and Dewynne, The Mathematics of Financial Derivatives,1995. Very useful book to have. Maths is quite approachable even at a graduate level. Clear and straight forward . Downsides: PDE based, none on martingale theory . Upside : easy and practical. Hull , Options, Futures and Other Derivatives, 2000. The bible of Math Finance. Everybody knows it. Very practical but not very useful as it mainly states results and not how they have been obtained. Contains a lot of information about markets not just technical stuff. Oksendal, Stochastic Differential Equations, 1998 Quite a heavy stuff especially for someone withiout a strong background in measure theory. I only managed to get through half of it in my first reading. Sadly, the juicy bits are all at the end. On the other hand, a good source of various technicalities. Verdict : good book if you have a background in measure theory and SDE. Read something easier before to appreciate it fully.

Etheridge, A Course in Financial Calculus 1996 Very good book for the beginners. Nice, well written and , most importantly, lods of exercises. I enjoyed it profoundly. One problem : there are no solutions to the exercises. Baxter & Rennie, Financial Calculus, 1996 On of the most known. I have heard it is nice. But I prefer Etheridge which is slightly more difficult. Wilmott Derivatives Very similar conceptually with Wilmott, Howison and Dewyne but better explained and more nice practical stuff like Visual Basic code ( though with some bugs -be careful). Worth having if you manage to buy a second hand copy. A new one is too expensive. Taleb, Dynamic Hedging. Very nice book especially for traders and traders to be. Very practical in terms of option trading and hedging. All things the academia do not want to know - bid /offer spread , liquidity holes, jumps, CB interventions are discussed there. Lamberton and Lapeyre, Introduction to Stochastic Calculus Applied to Finance, 1996. Great stuff. Not for the beginners but not that difficult. useful for PHDs and other advance level students. Read Baxter and Reannie first and then this one. Haug , Option Pricign Formulas, 1997 Waste of money if you buy it for yourself. It could have been a good reference book if it did not have typos. Well one pays is what one gets...