Financial Engineering Books

General Finance Textbooks
1) Options, Futures and Other Derivatives, John Hull
2) The Concepts and Practice of Mathematical Finance, Mark Joshi
3) Paul Wilmott on Quantitative Finance, Paul Wilmott

Option Pricing Theory and Stochastic Calculus
1) Financial Calculus: An Introduction to Derivative Pricing, Martin Baxter and Andrew Rennie
2) Arbitrage Theory in Continuous Time, Tomas Björk
3) Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Steven Shreve
4) Stochastic Calculus for Finance II: Continuous-Time Models, Steven Shreve
5) Martingale Methods in Financial Modelling, Marek Musiela and Marek Rutkowski
6) Mathematical Methods for Financial Markets, Monique Jeanblanc, Marc Yor, and Marc Chesney
7) Financial Modelling With Jump Processes, Rama Cont and Peter Tankov
Option Volatility and Pricing, Sheldon Natenberg

Quantitative Risk Management
1) Risk Management and Financial Institutions, by John C. Hull
2) Quantitative Risk Management: Concepts, Techniques, and Tools” by Alexander J. McNeil, Rüdiger Frey, and Paul Embrechts
3) Market Risk Analysis, Volume I: Quantitative Methods in Finance” by Carol Alexander
4) The Concepts and Practice of Mathematical Finance” by Mark S. Joshi

Asset Pricing
1) Asset Pricing (Revised Edition), Cochrane, John H. Princeton University Press, 2009.
2) Financial Decisions and Markets: A Course in Asset Pricing, Campbell, John Y. Princeton University Press, 2017.
3) Asset pricing and portfolio choice theory, Back, Kerry. Oxford University Press, 2010.
4) Damodaran on Valuation, Damodaran, Aswath, Wiley Finance, 2006
5) Dynamic Asset Pricing Theory (Third Edition), Duffie, Darrell. Princeton University Press, 2001.

Machine Learning:
1) Machine Learning: A Probabilistic Perspective, Kevin P Murphy
2) Advances in Financial Machine Learning, Marcos Lopez de Prado

Quant Interviews
1) Quant Job Interview Questions and Answers, Mark Joshi
2) Heard on the Street: Quantitative Questions from Wall Street Job Interviews, Timothy Crack
3) 150 Most Frequently Asked Questions on Quant Interviews, Dan Stefanica, Radoš Radoičić, and Tai-ho Wang
4) An Interview primer for quantitative finance, Dirk Bester