If you have no industry experience, you probably want to start out as an "analyst" through the program for new college recruits, at a big firm like Morgan Stanley or UBS Warburg.
I think this hiring runs on a fairly tight cycle, and has to be just about over. So get your resume/references ready, and start surfing the web for where to send it right away.
If you're wondering if this is what you want to do, trust me, it is. You'll do fine, and you'll find your strength when you get there
If I missed your point, or if you have additional questions, please post them!
They're not looking for run-of-the-mill math nerds, the world has no shortage of people who took a graduate class on "the Ito Process" or something. They're looking for you.
eLROY