Marek Musiela, Marek Rutkowski - Martingale Methods in Financial Modelling

If you want to write a PhD in asset pricing you will need this book. It is very practical and result oriented. Two Marek's (one of them was teaching me one day :D ) did an excelent job and provided a lucid and readable book. Almost all significant areas of asset pricing are covered in this textbook. I really recommend it to all, who want to become a Quants. If you are planning to become a trader a book by Tomas Bjork would be more than enough. :)