If by 'quantitative finance' you mean option pricing then check out the books by Mark Joshi:

- 'The Concepts and Practice of Mathematical Finance' - 'C++ Design Patterns and Derivatives Pricing'

Also of note is Baxter & Rennie:

- 'Financial Calculus: An Introduction to Derivative Pricing'

Once you've studied those and have a good grasp of Measure Theory, you'll want to tackle Shreve, Vol II.

And a brief plug of my (slightly out of date!) quant finance website, Quantstart.com.