Stochastic Calculus for Finance II

If by 'quantitative finance' you mean option pricing then check out the books by Mark Joshi: - 'The Concepts and Practice of Mathematical Finance' - 'C++ Design Patterns and Derivatives Pricing' Also of note is Baxter & Rennie: - 'Financial Calculus: An Introduction to Derivative Pricing' Once you've studied those and have a good grasp of Measure Theory, you'll want to tackle Shreve, Vol II. And a brief plug of my (slightly out of date!) quant finance website, Quantstart.com.

You need to be a little more specific regarding your interests and background. If you are interested in theory, there are plenty of books discussing specific models. However, most practical or buzzword (e.g. HFT) books are rubbish (think about it: if you have a profitable operation, why would you write a book? Unless, like me, you have a screw loose :P ) If you want some practical discussions, "Trading and Exchanges" by Larry Harris is a bit dated, but nothing comes close. Most of the descriptions are still valid today (even if some of the mechanics have changed) If you want something more along the lines of what a financial engineer would know: - "Options, Futures, and other Derivatives" by John Hull (goes over basic models without delving too deeply into theoretical math aspects) - "Stochastic Calculus for Finance II" by Steve Shreve (goes over the basic stuff but has enough stats to keep a grad student happy) - "Monte Carlo Methods in Financial Engineering" by Paul Glasserman (much more practical, and goes over subtleties of monte carlo simulation and other stuff like low discrepancy sampling)…