Library  
Option Pricing
Dispersion - A Guide for the clueless
A guide to the make-up of dispersion trades by FDAXHunter of Capital Structure Demolition, LLC.
Local and Stochastic Volatility Models: An Investigation into the Pricing of Exotic Equity Options
A comprehensive paper on the building and calibration of local and stochastic volatility option pricing models by Lisa Majmin.
Jobs & Career related
Interview Preparation Guide: Quantitative Analysis
A guide by DW on how to prepare for a junior position interview in the quantitative field.
Includes required skills, common mistakes, sample questions, etc.
Interview Preparation Guide: Quantitative Structuring
A guide by DW on how to prepare for an interview in the world of structuring.
Includes required skills, common mistakes, sample questions, etc.
Websites
Finance and Physics Papers Library
A large list of papers related to Phynance. Everything from American Options to Wavelets.
THC Financial Model Library
Thomas Ho's (Yes, the dude from Ho-Lee) website. Has various Excel spreadsheets related to modelling.
Global Derivatives
A website for students dedicated to various aspects of pricing and modelling.
econphd.net
Various resources for graduate studies in economics.
Includes a collection of lecture notes on micro- and macroeconomics, mathematics and econometrics.
Credit Lyonais Operations Research: Copulas
A collection of papers revolving around copulas and default modelling with copulas.
Quasi Monte Carlo Simulation Tutorial