Since they are relatively new, I don't know of any good books on diffusion models. But there are some great resources online.

Lilian Weng's Blog: https://lilianweng.github.io/posts/2021-07-11-diffusion-models/

Yang Song's Blog: https://yang-song.net/blog/2021/score/

Youtube videos: https://www.youtube.com/watch?v=fbLgFrlTnGU

Seminal papers:

- Denoising Diffusion Probabilistic Models: https://arxiv.org/abs/2006.11239

- Improved Techniques for Training Score-based Generative Models: https://arxiv.org/abs/2006.09011

- Hierarchical Text-Conditional Image Generation with CLIP Latents: https://arxiv.org/abs/2204.06125

Review papers:

- Understanding Diffusion Models: https://arxiv.org/pdf/2208.11970.pdf

And so on...