here is fine -- "other books" is more for detailed questions about content.
Etheridge's book is curious; it's a decent book but it's essentially a rewrite of baxter and rennie in a way suitable for an Oxford mathematics undergraduate.
If you want clear mathematical derivations it's good. If you want financial insight it's not.
Arguably you should learn this stuff at some point so this is as good a way as any. One could argue that Shreve is a more obvious choice, however.
Interviews are not particularly likely to focus on the proof stuff except at one or two houses, eg Paribas.