This one is the best: http://www.amazon.com/Dynamic-Hedging-Managing-Vanilla-Options/dp/0471152803 http://www.amazon.com/Dynamic-Hedging-Managing-Vanilla-Optio

This one is the best: http://www.amazon.com/Dynamic-Hedging-Managing-Vanilla-Options/dp/0471152803 http://www.amazon.com/Dynamic-Hedging-Managing-Vanilla-Optio... The first thirty or so pages offer the most intuitive introduction to vanillas I've read. The middle is must read, and the end gets into exotics if that's your fancy.