https://quant.stackexchange.com/questions/38862/what-are-the-quantitative-finance-books-that-we-should-all-have-in-our-shelves

• Options, Futures and Other Derivatives, John Hull
• The Concepts and Practice of Mathematical Finance, Mark Joshi
• Paul Wilmott on Quantitative Finance, Paul Wilmott

• Asset Pricing (Revised Edition), Cochrane, John H. Princeton University Press, 2009.
• Financial Decisions and Markets: A Course in Asset Pricing, Campbell, John Y. Princeton University Press, 2017.
• Asset pricing and portfolio choice theory, Back, Kerry. Oxford University Press, 2010.
• Damodaran on Valuation, Damodaran, Aswath, Wiley Finance, 2006

• Introduction to Risk Parity and Budgeting, Roncalli, Thierry, 2013
• Asset Management: A Systematic Approach to Factor Investing, Ang, Andrew, Financial Management Association, 2014
• Expected Returns: An Investor's Guide to Harvesting Market Rewards, Illmanen, Anti, The Wiley Finance Series, 2011

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

Equity Derivatives:

• Equity derivatives, Marcus Overhaus et al.
• Equity Hybrid Derivatives, Marcus Overhaus et al.
• The Volatility Surface, Jim Gatheral
• Stochastic Volatility Modeling, Lorenzo Bergomi
• Dynamic Hedging: Managing Vanilla and Exotic Options, Nassim Nicholas Taleb
• Option Volatility & Pricing, Sheldon Natenberg
• Option Valuation Under Stochastic Volatility: With Mathematica Code, Alan L. Lewis

FX Derivatives:

• Foreign Exchange Option Pricing, Iain J. Clark
• FX Options and Smile Risk, Antonio Castagna
• FX Options and Structured Products, Uwe Wystup

Commodity Derivatives:

• Commodity Option Pricing, Iain J. Clark
• Commodities and Commodity Derivatives, Helyette Geman
• Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging, Alexander Eydeland, Krzysztof Wolyniec

Interest Rate Derivatives:

• Interest Rate Option Models, Rebonato
• Interest Rate Models – Theory and Practice (with Smile, Inflation and Credit), Damiano Brigo and Fabio Mercurio
• Interest Rate Modeling I, II & III, Leif B. G. Andersen and Vladimir V. Piterbarg
• Pricing and Trading Interest Rate Derivatives, J H M Darbyshire

Inflation Derivatives:

• Interest Rate Models – Theory and Practice (with Smile, Inflation and Credit), Damiano Brigo and Fabio Mercurio

Credit Derivatives:

• Credit Risk - Modeling, Valuation & Hedging, Tomasz R. Bielecki and Marek Rutkowski
• Modelling Single-name and Multi-name Credit Derivatives, Dominic O’Kane
• Interest Rate Models – Theory and Practice (with Smile, Inflation and Credit), Damiano Brigo and Fabio Mercurio

XVA:

• XVA: Credit, Funding and Capital Valuation Adjustments, Andrew Green
• Counterparty Credit Risk, Collateral and Funding, Damiano Brigo, Massimo Morini, and Andrea Pallavicini

• Quantitative Risk Management: Concepts, Techniques and Tools, Alexander J. McNeil, Rudiger Frey, and Paul Embrechts

Probability and Stochastic Processes:

• Probability, A.N. Shiryaev
• Probability, Leo Breiman
• Stochastic Calculus and Applications, Samuel N. Cohen and Robert J. Elliott
• Stochastic Differential Equations, Bernt Oksendal
• Diffusions Markov Processes and Martingales, L. C. G. Roger and D. Williams

Statistics:

• Statistical Inference, George Casella and Roger Berger

• Theoretical Statistics - Topics for a Core Course, Robert W. Keener

• Time Series Analysis, James Hamilton

• The econometrics of financial markets, Campbell, John Y., Andrew Wen-Chuan Lo, and Archie Craig MacKinlay. Vol. 2. Princeton, NJ: Princeton University Press, 1997.

• The Elements of Statistical Learning, Hastie, Tibshirani and Friedman

• Handbook of Markov Chain Monte Carlo, Brooks, Steve, Gelman, Andrew, Jones, Galin , and Meng, Xiao-Li.

Machine Learning:

• Machine Learning: A Probabilistic Perspective, Kevin P Murphy

• Pattern Recognition and Machine Learning, Christopher Bishop

• Reinforcement Learning: An introduction, Richard S. Sutton and Andrew G. Barto

• Advances in Financial Machine Learning, Marcos Lopez de Prado

• C++ Design Patterns and Derivatives Pricing, Mark Joshi
• Python for Data Analysis, Wes McKinney
• Applied Computational Economics and Finance, Mario J. Miranda and Paul L. Fackler
• Modern Computational Finance, Antoine Savine

• Quant Job Interview Questions and Answers, Mark Joshi
• Heard on the Street: Quantitative Questions from Wall Street Job Interviews, Timothy Crack
• 150 Most Frequently Asked Questions on Quant Interviews, Dan Stefanica, Radoš Radoičić, and Tai-ho Wang

• My Life as a Quant: Reflections on Physics and Finance, Emanuel Derman
• The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It, Scott Patterson
• A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market, Edward Thorpe
• The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution, Gregory Zuckerman

• Reminiscences of a Stock Operator, Jesse Livermore
• Liar’s Poker, Michael Lewis
• Against the Gods, Peter Bernstein