I. Quantitative Finance

An Introduction to High Frequency Finance, Gencay, et al.

Applied Quantitative Methods for Trading and Investment, Dunis, et al.  

Bayesian Forecasting and Dynamic Models, West and Harrison

Financial Modeling, Benninga

Fixed Income Securities, Martellini, et al.  

Market Models, Alexander 

Money Market and Bond Calculations, Stigum, et al.

Options, Futures and Other Derivatives, Hull  

Optimization in Operations Research, Rardin

Paul Wilmott Introduces Quantitative Finance, Wilmott  

Practical Portfolio Performance Measurement and Attribution, Bacon

Probability and Statistics in Engineering and Management Science, Hines and Montgomery

The Treasury Bond Basis, Burghardt, et al.

II. Trading Strategy

Dynamic Hedging, Teleb 

Option Volatility and Pricing, Natenberg

The Treasury Bond Basis, Burghardt, et al.

The Complete Arbitrage Deskbook, Reverre 

Optimal Trading Strategies, Kissel 

Options, Futures, and Other Derivatives, Hull

Intermarket Analysis, Murphy

Pairs Trading, Vidyamurthy 

Money Market and Bond Calculations, Stigum, et al.

Quantitative Trading Strategies, Kestner

Fixed Income Arbitrage, Wong 

Technical Analysis of the Financial Markets, Murphy

Fixed-Income Securities, Martellini, et al.

http://www.ivolatility.com/doc/Dispersion_Article.pdf

III. Market Technology

Building Automated Trading Systems, Van Vliet

Quality Money Management, Kumiega and Van Vliet

The C++ Programming Language, Stroustrup

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