I’m considering a career in finance when I complete my PhD in Mathematics in 2016. My only major programming experience was a C++ course during my MPhys in the 2007-8 academic year, although since then I’ve used LaTeX a lot, which has some similarities to proper programming. What should I be able to do as a programmer if I seek an entry-level job such as a quant? I’ve tried googling this, but what I find discussed instead is which languages are worth learning. I appreciate there may be too many exercises worth doing to list here, but I’d welcome any reference material that goes into this in appropriate detail.
It depends on what part of finance you want to go into. Basic scripting in SAS is often enough for some commercial banks.
In my opinion (and others will disagree I'm sure) to be a "world class" quant you need to have in-depth knowledge of a low level programming language (eg C++), working knowledge in a few high level languages (R and Python, for example), and strong working knowledge of SQL and databases.
Stay away from Excel, SAS, and STATA if you want long term (15+ years) of employability: those "languages" are obsolete and are being phased out.
Well, i mostly use $MatLab$, it has pre-constructed tools, user-friendly interface. Also $Stata$ for econometric analysis
For econometrics you can also use $Eviews$, it can't be considered as programming though, everything is packed for easy use. In contrast, $Stata$ is better for some complex models.
I have learnt $C++$, in fact, if you dig under most (if not all) applications, you'll find that $C$ is their "dad". $C++$ is great for "freestyle" and crazy ideas.
For example, Matlab (and most computational prorgams) have limited bytes for their data. Due to some circumstances i had to solve a set of equations, which involved numbers going beyond 308 (MatLab's limit) digits. C++ turned out to be handy there (made a new class of floating numbers). Just saying.
For daily basis $Excel$ should be good. Knowing how to use $VBA$ with it would give you a huge performance boost too. Good luck!