My Life as a Quant: Reflections on Physics and Finance by Emanuel Derman

Slashdot wrote about the book by a guy who used to be a physisist and became a mathematitian at Wall Street company. It must be interesting, definitely the one to read after I finish with DaVinci Code by Dan Brown.

A quote with other books on topic:

The book recommended by the parent is an excellent practical discussion about exchange-traded options. It is not, however, "a good technical introduction to the techniques used for quantative analysis on Wall Street", being neither technical nor about derivative securities in general.

The standard recommendation is Options, Futures, and Other Derivatives by John Hull, and this is in fact a very good book and simultaneously a good introduction to many OTC derivatives. I like Paul Wilmott's book On Quantitative Finance. (This book comes in several versions, some longer and some shorter.)

The books mentioned above stress PDE-based analysis. If you would prefer an approach based on martingale theory, try Financial Calculus by Baxter and Rennie. An Introduction to the Mathematics of Financial Derivatives by Neftci is a more elementary version; think of it as "Stochastic Calculus for Dummies." Neither of these two books contains much information about traded contracts.