• One curious thing is that the employers at the interview assume that you know nothing about finance. For the interview, you should review Hull to pick up the general jargon, but it doesn't seem to be necessary that you know this in any great detail. What employers will be looking for is your ability to program and do math puzzles. Hull is great to read, because the assumption upon the part of the employers is that if you have a background in theoretical physics, you should find the math easy in comparision with what you had been doing. Reading Hull should make you feel that this is the case.

Some books you should read.....

• Crack, Heard on the Street: Quantitative Questions from Wall Street.
  • A pretty good overview. However, in the experience of one interviewee from a physics background, the thing that one noticed was that the interviewers didn't ask any finance questions at all, and the questions that Crack mentions for math skills are a bit easier than the questions that were asked. In particular, Crack doesn't have nearly the number of math questions that you need for a good work out.

One thing that you should really brush up on are your mathematical puzzle skills. The books for doing that are the training books for problem solving in math olympiads. see MathPuzzleBooks