usually they have a phd.
any quantitative major would do(engineering, math, physics, astrophysics etc.)
top masters math heavy masters of finance would do. they are relatively new so they are not that well represented
NYU has one of the best programs. Columbia, Chicago, Standford and some other schools all have top notch programs. some schools offer a masters in applied mathetics with a concentration in finance rather than a masters in finance
certainly a masters at a top school would do
i would call to ask or talk to someone who actually been in the industry
here is a link to the NYU website
it has some useful info
Courant Institute of Mathematical Sciences NYU
here is a link to a finace job website, they list requirements
Finance jobs, investment banking jobs & recruitment: Finance jobs sector
another option to consider is operations and financial engineering which is pretty much computational finance
International Association of Financial Engineers - Home
michigan's financial derivitive club website
University of Michigan Financial Derivatives and Risk Management Club
hope it helps