Here is a collection the academic books I have been using (I mean, I have read at least their introduction). They have been partitioned into five subsets and ranked by personal preference instead of prices or the degree of bore. Those labelled "$" are my favorite. Any critique, email me.

Econometrics

• $ Estimation, inference and specification analysis (Halbert White)
• $ Time series analysis (James Hamilton)
• $ Econometric analysis ( Greene)

Economics and game

• $ The theory of learning in games (Fudenberg and Levin)
• Economic Analysis (Mas Collel et. al.)
• Game theory and economic modelling (David Kreps)
• Game theory for applied economists (Gibbons)

Finance

• $ Market microstructure theory (O'hara)
• $ Value at Risk (Phillips Jorion )
• $ Price of financial market

Analysis, probability, and statistics

• $ Princeples of Analasis (Rudin)
• $ Elements of integration (Bartle)
• $ Probability and measure (Billinsly)