I. Investment
1. Investment By William Sharpe
2. Investment By Bodie, Kane & Marcus
II Corporate finance
1. Corporate Finance By Ross & Westfield
2. Principle of Corporate Finance By Brealey and Meyer
III Financial Economics (Finance Theory, Asset Pricing)
1. Foundations of Financial Economics by Huang & Litzenberger
2. Theory of Financial Decision making by Ingersoll
3. Finance Theory by Jarrow
4. Asset Pricing by Cochrane
5. Dynamic Asset Pricing Theory by Duffie
IV Mathematical Finance (Derivatives)
1. The Mathematics of Financial Derivatives by Wilmott
2. The Mathematics of Financial Derivatives by Neftci
3. Options, Futures and Other Derivatives by Hull
4. Options Markets by Cox & Rubinstein
5. Stochastic Calculus and Finance by Shreve
6. Brownian Motion and Stochastic Calculus by Karatzas and Shreve
7. Stochastic Differential Equations by Oksendal
V Financial Econometrics
1. Econometrics of Financial Markets by Campbell, Lo & MacKinlay
2. Analysis of Financial Time Series by Tsay
VI Others
1. Continuous Time Finance by Merton
2. Investment under Uncertainty by Dixit and Pindyck