This definitely needs to be stressed. I went through the same path as the OP: got my PhD in Theoretical Physics, then moved to quantitative finance. I definitely wasn't stunningly above average in my old filed, but now, modesty aside, I am significantly smarter than the people I do consulting work for. And still, quantitative finance attracts people who in general are above the average population. There is probably a bit of availability/selection bias going on here, so be careful to correct for it.
Now, to the OP. As for the original question, its quite possible that in the quant field you could already be hired without having specific financial kowledge. People have learned to know that former physicists are of high value, and are willing to invest some time teach you what you need to know. I honestly wouldn't suggest that you spend time into building some specific knowledge, as it may very well be unnecessary. If you have some spare time, you might want to learn some advanced statistics, even though simpling refreshing what you learned in college should be sufficient.
If you want some more specific advice, feel free to pm me. You say you aren't American, if you are Eurpean and would like to find a job here, I might be of some help.
I'm a theoretical physics (quantum computing) grad student. I really like what I do, and would like to continue doing it for a long time.
But I'm aware that the job market in academia for freshly minted physics PhDs is not spectacular. For personal reasons, I may not be able to go through the post-doc treadmill and I might want to make good money. Thus: programming & finance. I currently lean towards programming.
I thought LW is a good place to ask for advice related to this.
Current skills: Good at math, definitely not "gifted". I know C++, and some Python; neither inside out. I don't know specific techniques to design good algorithms for problems. For example, I tried my hand a few times at programming contests (including those at small scales) and got my ass handed to me. I've only taken basic college courses in programming.
I'm not very aware of the skills tested in quant interviews. I'm sure googling and talking to a few people will fix this, but please feel free to add your thoughts.
I have about a couple of years left till I graduate, so I can do this properly: What is the best way to make sure that when I graduate I can easily take a job in software or finance after the PhD? Looking for the most bang-for-the-buck (the buck here being time and money) way to do this.
Also, I may have blinders on. Are there other well-paying jobs out there for physics PhDs? I'm not an American citizen, so many of the government/government-funded lab jobs are out of the question.
Thanks in advance.
Some resources I've identified:
1. USACO training gateway.
2. SICP. (How much is it worth going through this?)
3. Cracking the Coding Interview.