Adele_L comments on Open thread, Dec. 29, 2014 - Jan 04, 2015 - Less Wrong Discussion
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I'm in a similiar situation - been studying math, but looking to get a programming job. I've been using the well-accliamed Cracking the Coding Interview book to prepare for interviews. If you're interested, I would be happy to trade advice, review, or questions.
Right now, I think the main thing I need to work on is building up my network. I've done most of djm's suggestions already.