Title is misleading as it sounds like a more general finance book, but it's strictly derivative pricing. Great book, however, and best bibliography. Neftci, Salih N. An Introduction to the Mathematics of Financial Derivatives . I have read this book several times and love it. It's loaded with errors, misstatements and misleading points.
Nobody does it any better.
The Handbook of Exotic Options . Prisman, Eliezer Z. Pricing Derivative Securities . Illustrates derivative pricing principles using programming examples in Matlab and Maple . Ritchken's first book. I liked it but evidently not enough others did.