New interesting thick book by Duffy that I am reading a bit in now,
Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach
"This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners, novices and expert users."