The problem is the books don't really tell you. They're written in this mathematical way that kinda obscures how to actually think about them practically. If you're more into math maybe stochastic calc will be just fine for you.

Here we go anyway:

Hull: Futures, Options, and Other Derivatives

Natenberg. Don't recall the name, but this is maybe the closest to practical.

Paul Wilmott, Quantitative finance.

Taleb, Dynamic Hedging. Got a signed copy :)

Also I think it's smart to read about instruments that aren't options, ie don't just cut to the chase. Time value of money, futures, forwards, bonds, swaps, equities. Then vanilla options on all those things, then exotics.

Someone with a strong math background should cut Wilmott and go directly to Shreve: Stochastic Calculus for Finance II (or Björk: Arbitrage Theory in Continuous Time).

I think that given the question about "how these instruments work in some depth" Hull is more appropriate.

This was indeed what I was getting at! Good to have a Stochastic book recommendation anyway, might also be i teresting. :)

What does "strong math background" mean in this context? Would the equivalent of an undergrad degree in math be sufficient, or are we talking about graduate level analysis and stats here?

> Björk: Arbitrage Theory in Continuous Time

is standard graduate stochastic calculus course material. An undergrad degree in math usually specializes in a certain track: algebra or analysis. The analysis background would be a closer fit as the material is focused on the continuous applications (not HFT) and likely have covered the introductory measure and probability theory material. The finance portion focuses on the arbitrage-risk neutral model that is at least a semester worth a material.

Thanks a lot! I’ll check these out!

Interesting comment about the math. For my physics degree, a lot of times it was easier to think about things once I understood more of the math. I’ll see how it goes here.