I want to do this. What is the best way to get in, through a milkround graduate scheme thing?(I graduated a year ago with an MSc in Financial Engineering).Also, what can I do to improve my job prospects. I feel I know quite a bit about the maths behind options and am continually learning more about derivatives, need to get this break...Thanks.

Lots of smart, well-educated and motivated people want to do this. It pays more money than anything comparable and, to a certain kind of person, is more interesting than anything else available in the way of employment. You need to fight for it, which means trying lots of ways in. These will include writing to HR departments and headhunters, of course. But you should network like a bandit. You should find out who runs what trading desk at what bank and get in touch with them. You should put yourself about without annoying the recipients of your attentions. Having the chutzpah to get a job is just the first filter of many ...