Emanuel Derman, author of the excellent My Life as a Quant, is putting the lecture notes from his Columbia Master's in Financial Engineering course up on the web:
Laughter in the Dark: An Introduction to the Volatility Smile: These are unpublished lecture notes from the Master's in Financial Engineering Program at Columbia University. I have used many published papers and books to improve (I hope) the pedagogic nature of these notes, and perhaps not referenced them properly. Since they are in rough form, I will be pleased to correct any errors or omissions. I'll add new lectures as the semester progresses.