Finance and Options Pricing Theory:

• Option Volatility & Pricing: Advanced Trading Strategies and Techniques by Sheldon Natenberg
• Options Markets by John C. Cox and Mark Rubinstein
• Options, Futures, & Other Derivatives by John C. Hull
• The Bond Market by Christina I. Ray
• The Treasury Bond Basis: An in-Depth Analysis for Hedgers, Speculators, and Arbitrageurs  by Galen Burghardt and Terry Belton
• The Eurodollar Futures and Options Handbook by Galen Burghardt
• Volatility Trading by Euan Sinclair
• The Business of Options: Time-Tested Principles and Practices by Martin O’Connell

Programming and Algo:

• The Visual Display of Quantitative Information by Edward R. Tufte
• The Pragmatic Programmer by Andrew Hunt and David Thomas
• Design Patterns by Erich Gamma
• Refactoring by Martin Fowler
• Clean Code: A Handbook of Agile Software Craftsmanship by Robert C. Martin
• Pragmatic Thinking and Learning: Refactor Your Wetware (Pragmatic Programmers) by Andy Hunt
• Elements of Programming by Alexander Stepanov and Paul McJones
• The C++ Programming Language by Bjarne Stroustrup
• Effective C++ by Scott Meyers
• Programming Pearls by Jon Bentley
• Beautiful Code by Andy Oram and Greg Wilson
• Coders at Work by Peter Seibel
• Structure and Interpretation of Computer Programs by Harold Abelson, Gerald Jay Sussman and Julie Sussman
• Concepts, Techniques and Models of Computer Programming by Peter Van Roy and Seif Haridi

Historical and Anecdotal:

• Market Wizards: Interviews With Top Traders by Jack D. Schwager
• Reminiscences of a Stock Operator by Edwin Lefevre
• When Genius Failed: The Rise and Fall of Long-Term  Capital Management  by Roger Lowenstein
• Freakonomics: A Rogue Economist Explores the Hidden Side of Everything, by Steven D. Levitt and Stephen J. Dubner
• Outliers: The Story of Success by Malcolm Gladwell
• My Life as a Quant: Reflections on Physics and Finance by Emanuel Derman
• The Black Swan: The Impact of the Highly Improbable by Nassim Nicholas Taleb
• Irrational Exuberance by Robert Shiller