Anxiety Disorders:
The Anxiety and Phobia Workbook, by Edmund Bourne
Don't Panic, by Reid Wilson
Depression:
Overcoming
Depression, by Demitri Papolos
Mindfulness:
Full Catastrophe Living, by Jon Kabat-Zinn
Wherever You Go There You Are, by Jon Kabat-Zinn
The Mindful Way Through Depression, by Williams, Teasdale, Segal, and Kabat-Zinn
Start Where You Are, by Pema Chodron
