Standard path as of maybe half a decade ago was to do a masters or phd in financial engineering (sometimes alternatively named computational finance).

I personally believe it's hard to self-study since there's many graduate-level math prerequisites that are required if you don't want to just be a programmer.

For example stochastic calculus which is the area of math around black scholes option pricing requires graduate level probability (i.e., one taught with measure theory which is itself is a graduate level class after analysis).

I do know of some people who tried to put together their own curriculum though: https://www.quantstart.com/articles/How-to-Learn-Advanced-Ma....

It's definitely possible with a masters in SE. There are many types of quant (see the markjoshi.com link above) - it will be easiest for you to become a quant developer with your background in software engineering. This will be much more focused on the software development side of things rather than the math/modelling side of things, but depending on the firm will give you large exposure to how the modelling side works. They are very competitive positions, but if you are a strong programmer that can prove you have knowledge of financial markets, have relevant side projects, and can understand and communicate the math behind what you build, you will have a leg up on the competition.

Thanks. You're reply gave me a boost of inspiration. I'm working now to learn more of the Math and modeling side of things, but I know it's going to be a _long_ hard road. Thanks for the link, that site seems to have some great info - I particularly like this http://www.markjoshi.com/downloads/advice.pdf.

I'm curious what sort of side projects I could try that others could take notice on.