[1] Heard on the Street: Quantitative Questions from Wall Street Job
Interviews by Timothy Falcon Crack

[2] Options, Futures, and Other Derivatives by John C. Hull
The finance bible, required reading for all Wall Street jobs.

[3] Numerical Analysis by Lee W. Johnson and R. Dean Riess
This book is out of print but any other introductory numerical analysis book should do.

[4] The Princeton Review: Cracking the GRE: Math by Steven A. Leduc
Concise review of undergraduate mathematics; should be able to answer questions on this material on the spot.

[5] Introduction to the Mathematics of Financial Derivatives by Salih N.
Neftci

[6] Stochastic Differential Equations: An Introduction with
Applications by Bernt K. Oksendal