Most of these comments might be obvious for the most of you but having these insights was a very useful experience. Further, my background is nor maths nor finance. My day job (CRM and IT) has nothing do with mathematical finance and I don't intend to get a quant job. It's a hobby and I do all the reading in my spare time. This post might be useful for people in the same or similar situation. If you are a quant or have a maths degree you can skip it.

This is my basic book list including the my wish list (thanks a lot to Mark for his recommended books list: http://www.markjoshi.com/RecommendedBooks.html):

Basic Maths

- Principles of Mathematical Analysis by Walter Rudin (my basic book on Analysis)

- Yet Another Introduction to Analysis by Victor Bryant

On the 'Basic Maths' wish list:

- Elementary Probability Theory: With Stochastic Processes and an Introduction to Mathematical Finance by K.L. Chung

- Stochastic Differential Equations: An Introduction with Applications by Bernt Oksendal

Mathematical Finance

- The Concepts and Practice of Mathematical Finance by Mark Joshi

- Mathematical Techniques in Finance: Tools for Incomplete Markets by Ales Cerny

On the 'Mathematical Finance' wish list

- Volatility and Correlation: The Perfect Hedger and the Fox by Riccardo Rebonato

- Dynamic Asset Pricing Theory by Darrell Duffie

C++ and Programming

- C++ Design Patterns and Derivatives Pricing by Mark Joshi

- Thinking in C++ by Bruce Eckel (http://mindview.net/Books/TICPP/ThinkingInCPP2e.html)

- Professional C++ Programming by Nicholas Solter and Scott Klepper

- Design patterns: elements of reusable object-oriented software by the Gang of Four (Gamma, Helm, Johnson, Vlissides)

Here my insights and tips:

Don't buy too many books at once. Learn the two Joshi books by heart. Make sure you understand *all* the concepts in these books. Read slowly, take detailed notes. Re-read passages you don't understand again and again. Do all the exercises. And do something I haven't done so far but I will start with right now: Write down what you have read in your own words. Even better: Write your own summary/book.

Choose C++ as the programming language and don't look left and right. Don't listen to comments like "oh, programming language X is much better than C++ because...". If you can't or don't want to use C++: Java is ok, Matlab is ok, R is ok, X is ok but just focus on one language/system. Apply design patterns wherever it makes sense.

Keep a wish list with books you would like or need to read. But as I said, don't buy too many at once. It takes a lot of time to read and understand one book so I am restricting myself to buy the books on the wish list until I have finished the basic ones. And this will take two years at least (for me).

Get proficiency in Excel and implement the examples shown in the books.

Keep a list of finance and maths buzzwords you don't know/understand. Add all the information you can find (books, magazines, web etc.) to these words.

Last but not least: Read newspapers and magazines to be informed what's going on (FT, Economist, NZZ etc.)

Any comments, tips and critics are appreciated.

PS:

Mark, if this post is in the wrong section please feel free to advise me to move it.