Standard path as of maybe half a decade ago was to do a masters or phd in financial engineering (sometimes alternatively named computational finance).

I personally believe it's hard to self-study since there's many graduate-level math prerequisites that are required if you don't want to just be a programmer.

For example stochastic calculus which is the area of math around black scholes option pricing requires graduate level probability (i.e., one taught with measure theory which is itself is a graduate level class after analysis).

I do know of some people who tried to put together their own curriculum though: https://www.quantstart.com/articles/How-to-Learn-Advanced-Ma....