Mathematics of Financial Markets (Springer Finance)

This book provides a speedy but readable and comprehensive approach to financial math. For a slower and more careful approach to the mathematics, especially with regard to local martingales and the construction of the stochastic integral, I recommend Steele. An important warning about the 2nd edition of Elliott and Kopp is that Chapter 7, the longest and most important chapter in the book, which covers continuous time European options and the Greeks, is *rife* with typos: incorrect subscripts, superscripts and signs, mixed up or missing variables in expressions, backwards inequalities, etc. This chapter was clearly not edited carefully, and can be a little frustrating to read.