Good books for hackers interested in quant finance?

Hull is always the first recommendation. After that, it depends what area you're interested in. You could move on to Shreve for more hard core quantity material, or go to Tsay (Analysis of Financial Time Series) for a time series primer. You could try Natenberg for options material or Grinld and Khan for portfolio management. Not too much useful material on HFT out there. Agreed that Harris is useful but out of date.

I own and have read Pearl's book "Causality", and it does not relate to finance at all. It's a good book otherwise, though.

You need to be a little more specific regarding your interests and background. If you are interested in theory, there are plenty of books discussing specific models. However, most practical or buzzword (e.g. HFT) books are rubbish (think about it: if you have a profitable operation, why would you write a book? Unless, like me, you have a screw loose :P )

If you want some practical discussions, "Trading and Exchanges" by Larry Harris is a bit dated, but nothing comes close. Most of the descriptions are still valid today (even if some of the mechanics have changed)

If you want something more along the lines of what a financial engineer would know:

- "Options, Futures, and other Derivatives" by John Hull (goes over basic models without delving too deeply into theoretical math aspects)

- "Stochastic Calculus for Finance II" by Steve Shreve (goes over the basic stuff but has enough stats to keep a grad student happy)

- "Monte Carlo Methods in Financial Engineering" by Paul Glasserman (much more practical, and goes over subtleties of monte carlo simulation and other stuff like low discrepancy sampling)

- "Modelling Fixed Income Securities and Interest Rate Options" by Robert Jarrow (walks through how to perform certain simulations, covers lots of little details most theoretical books skip)

If you want something more theoretical:

- "Introduction to Stochastic Calculus Applied to Finance" by Lamberton and Lapeyre (Nice little intro)

- "Arbitrage Theory in Continuous Time" by Tomas Bjork (Slower discussion, larger breadth)

- "Brownian Motion and Stochastic Calculus" and "Methods of Mathematical Finance" by Karatzas and Shreve (Solid theoretical foundation, for the more mathematically inclined)

There was a good non-measure theoretic discussion of financial models but the name escapes me ATM.

I probably should have replied to this post, but I gave some recommendations in a post to the parent

Buffett makes a great deal of cash flow from writing options, so take what he says with a grain of salt.

"The brilliance behind Buffett’s investment in Berkshire is astounding. He effectively used (and uses) Berkshire as the world’s largest option writing house. The premiums and cash flow from his insurance business created dividends that he could invest in other businesses. But Buffett wasn’t just buying Coca-Cola and Geico as many have been led to believe. Buffett was placing some (short-term AND long-term) complex bets in derivatives markets, options markets, and bond markets."

http://pragcap.com/the-many-myths-of-warren-buffett