These are the books that I get the most from, in terms of either entertainment or information, ordered in increasing quantitative content.

1. Reminiscences of a Stock Operator by Edwin Lefevre (John Wiley & Sons, Abridged Edition, 2004)

A classic story about the ups and downs of trading written in the early twentieth century. Amazingly, most of the wisdom still holds true today. There's a hardcover version available that features lovely period artwork.

1. Where Are the Customer's Yachts? by Fred Schwed Jr. (John Wiley & Sons, 1^st Edition, 2006)

A cynical description of how Wall Street operates based around the 1929 Crash. When so much material written and presented about finance and financial markets is completely humorless, this is a cracking read. The parts on options are particularly interesting, written as they are before the development of the Black-Scholes model. It is fascinating to consider how the derivatives market developed even without a consistent way of pricing volatility.

1. Volatility Trading by Euan Sinclair (John Wiley & Sons, 2008)

Explains how buyside (i.e., hedge funds) trade volatility with a nice balance of practical and technical material. The approach is centered on picking individual trades, managing them through to maturity, and tracking their P&L rather than risk managing a portfolio of options. For a derivatives trader at a bank it is interesting to see how hedge funds assess value and manage their risk; many of the techniques are applicable to market-makers, too.

1. Dynamic Hedging by Nassim Taleb (John Wiley & Sons, 1^st Edition, 1996)

A stunning book: years ahead of its time when it was published. It successfully combines technical details with the experience and thrill of trading. Much of the analysis style used in this book comes directly from this material. It can be hard going for new joiners, but once you are familiar with derivatives the book is packed full of wisdom and verve.

1. Paul Wilmott on Quantitative Finance by Paul Wilmott (John Wiley & Sons, 2^nd Edition, 2006)

A comprehensive introduction to quantitative finance from one of the key figures in the industry. Covers a massive range of topics from a quantitative perspective but without losing sight of the real-world application.

1. Options, Futures, and Other Derivatives by John C. Hull (Prentice Hall, 6^th Edition, 2005)

A favorite for students and junior traders. This is a good book for learning the basics of financial products across all asset classes. Written with clarity, good worked examples, and nicely pitched mathematical content. Plus it is often updated to cover new financial products.

1. The Complete Guide to Option Pricing Formulas by Espen Gaarder Haug (McGraw-Hill Professional, 2^nd Edition, 2007)

Does what it says on the cover: a book containing options formulas covering a massive variety of payoffs. A fantastic achievement that every quant-centric trader will have on their desk as a reference.

1. Financial Calculus by Martin Baxter and Andrew Rennie (Cambridge University Press, 1^st Edition, 1996)

A gem of a book: If you want to understand the mathematical framework underpinning Black-Scholes, this is the place to start. Leads you by the hand through Itō Calculus, Martingales, and finally Black-Scholes.

1. The Volatility Surface: A Practitioner's Guide by Jim Gatheral (John Wiley & Sons, 1^st Edition, 2006)

An ideal book for understanding how the volatility surface is modeled in practice. Written by a quant whose volatility smile models have been adopted throughout the industry. Probably more useful for quants than traders, but given the complexity of the material it is still accessible.