This is one of the books 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 standard books suggested 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 through a great number of the book's statements and expanded (with further detail) upon anything that was unclear to me at the time. You can find the material I had time to write up by following the links on this page.Book Notes: