This is the book I choose to begin my study of financial derivatives with and it is often recommended as a more mathematical treatment of various topics in the derivatives field. It is one of the more standard books to suggest to people who are mathematically inclined (mathematicians/physicists) but who don't have a strong financial background. Readers unfamiliar with this book can see what others have said here.
To learn this material as well as possible I worked a great number of the book's exercises and provided additional details on anything that was unclear to me at the time. You can find this material by following the links on this page.Book Notes and Solution Manual: