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 And a brief plug of my (slightly out of date!)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.
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