Despite what you may have heard, the quant job market is still very active. It’s definitely not as "hot" as one year ago, when the quant job market experienced one of those rare "job seeker’s market" periods, but there are still plenty of opportunities on and off Wall Street.
The real problem for a quant job seeker is: competition. More and more graduates are minted from MFE (master’s of financial engineering) type programs, and more and more non-finance students are looking to get into quant finance. The number of available jobs, from my conversations with headhunters, simply cannot match the explosive number of applicants, period.
What’s one to do? Obviously, you should read my book which, I believe, gives you some advantage if you apply the many techniques contained therein. (Forgive me for this shameless, but helpful, plug!) Second, you should really become proficient in C++, and preferably Java and/or C# as well, as a larger and larger piece of the quant job pie demands strong C++ programming skills, and even many traditionally research-only positions require C++ knowledge — or at least the employers will be inclined to hire someone with C++ knowledge. By proficient I mean you really know C++ well, not just the superficial topics like how to define a class. Function calls, reference usage, class inheritance, template definitions, etc. are all very important topics that you must understand thoroughly. Don’t forget to do a lot of practical programming exercises; reading a C++ book is simply not enough!
(BTW, in case you suspect I’m somehow emotionally attached to C++, let me say this: I’m really lousy at C++!)
Of course, good luck!