I have been thinking about this for awhile now. I've been thinking about applying to LSE, but it's incredibly expensive. UL Queen Mary has a quantitative finance program that I'm really interested in, and it's like a quarter of the price. I'm also European, but in order to qualify for Home/EU tuition, you have to have lived in an EU country for 3 years.
Here's some very useful information:
http://www.workpermit.com/uk/uk.htm
Queen Mary UL:
http://www.qmul.ac.uk/