Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

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Summary: One of the best if you want to understand the Options theory
Review: I have had the privilege to take classes under Prof. Shreve and also, we got a free copy of this book before the book was publshed. I have looked at a lot of books to get a better understanding of financial mathematics. I think this one stands out from the lot. For someone who does not have a background in measure theory, the first couple of chapters might be a little hard to digest. But once you are through it, the rest of the chapters are just amazing. Today, after graduating if there's one book that I refer back again and again, it's this. This book explains ito's lemma, girsanov's theorem, and change of measure in a beautiful way. This is a very good reference for someone who's very keen in understanding the theory behind derivatives pricing.
Books like Options derivatives by Hull are claimed by a lot of people as the bible for derivatives theory. I beg to differ. The reason being that if you are really interested in understanding something then you have to go to the roots. And that's where Shreve's book helps you!

Rating:
Summary: One of the best!
Review: It would be hard to overstate my enthusiasm for this text and its companion volume. In field that is too frequently represented by poorly thought out drafts rushed to market or by advanced mathematical treatments that are not easily understood by individuals more focused on practice, Shreve's texts stand out by being both rigorous and accessible with well thought out examples and exercises.

Rating:
Summary: excellent textbook
Review: Very clear and accessible text, which starts with elementary measure theory and progresses to stochastic calculus and derivatives pricing.