This is impossible unless you are very intelligent with good memory-retention skills and already mathemathically proficient in the field of analysis and statistics (and no, a single course in basic probability theory does not suffice). And even if you are, two weeks is an extremely short amount of time.
However, assuming these criteria are satisfied, I would recomment the following 4 books. Assuming that you don't finish the entire book (e.g. by skipping some chapters that are more advanced or niche), then one might say that there's 400 pages to read per book, so 1600 pages in total.
But you also need to do exercises since that's how you know that you're actually learning, and that's also how the interview will be like. So let's say that you spend 4 days doing non-stop exercises (you can find these in the above 4 books). That means you have to read 1600 pages in 14 - 10 = 10 days, so about 160 pages per day. Definitely do-able, but only if you're smart enough to retain the material (which, sorry to say, you probably aren't).
But if you want to take a shot, the books are:
- Hull's Options, Futures, and Other Derivatives ... this is the least theoretical (it isn't even theoretical at all, actually) of the books, but gives an encyclopedic (but again, very basic!) overview/intro to all the topics. A good read though, but it is very long, so select only relevant chapters!
- Joshi's The Concepts And Practice of Mathematical Finance. Now it gets kind of hard, and the mathemathical models that Hull briefly described are looked at in-depth.
- Joshi's Quant Job Interview: Questions and Answers book. If you can deal with this, you might not even need to read 4.
- Karatzas and Shreve's Brownian Motion and Stochastic Calculus. This is super theoretical, but good to give it a read-through to make sure you really understand the underlying heavy math around these processes.
However, please realize that reading and understanding ANY of these books, even during full-time study, would take at least a month under normal circumstances.
I would recommend not wasting the interviewer's time, and letting them know you won't be attending. But if you really do want to become a quant, take a few month's and study the above 4 books and really master the concepts.
