A very cheap source of used books are http://www.half.com/ and http://www.amazon.com/

For a general introduction you should get several different books. One thing that is true is that different people will explain the concept in very different ways and that helps you get the general picture.

Also uses are a list of ProgrammingBooks, MathPuzzleBooks and QuantitativeFinanceLinks

Also, if you are trying to break into quantitative finance from physics, you should see JobAdviceForPhysicsPhds.

• Options, Futures, and Other Derivatives, by John C. Hull 5th edition Prentice Hall
  • This book has the advantage that it is much less loaded with math jargon than some of the other books. It also is unique in that it has sections about issues in quantitative finance that aren't solely related to the math.
• The Concepts and Practice of Mathematical Finance, by Mark S. Joshi Hardcover - (8 December, 2003) Cambridge University Press
  • Also very readable though a bit more laden with mathematics than Hull.
• Paul Wilmott on Quantitative Finance, by Paul Wilmott. Hardcover - 1064 pages 2nd revised edition (27 April, 2000) John Wiley and Sons Ltd; ISBN: 0471874388

There are also two more books which would be of interest to physicists interested in quantitative finance

• Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management Bouchard and Potters - Cambridge University Press
  • Much more mathematical than some of the other books, but a good provides a good overview of finance from the perspective of the physicist.
• The Statistical Mechanics of Financial Markets - J. Volt - Springer-Verlag
  • While this does have a brief introduction of option pricing, a lot of other books present the material in much more depth. Where this book is useful (and where other books don't mention) is talking about areas of active research where the financial markets show patterns which physicists might have some interest in.

QuantitativeProgrammingBooks