After getting a BSc in Theoretical physics and an MSc in Meteorology, I think that a career move into coding instead of game design would be much more appropriate. Considering the subjects taken and the qualifications gained, it is glaringly obvious that you are very good at maths and you should try to use that knowledge in the workplace, hence why I think a coding job would be *much* more appropriate for yourself.
You mentioned that you had done C++..How many projects did you do in C++ and to what level would you consider yourself?
If the coding job didn’t work out, then at least your foot is in the door and it could make it a bit easier to move over to game design. Also from the experience gained from coding, you would have a much better understanding of the work involved in implementing new ideas into a game and also of the limitations of the various development platforms.
Also, if your looking for a job a bit closer to home why not try havok @ http://www.havok.com and click on the company link in the left panel and then on careers. I would imagine someone with your maths ability would be right at home doing the stuff that they do. Send your CV into them and see what happens. You mightn’t match up to every requirement for the jobs advertised, but if you have the enthusiasm, the commitment and the willingness to learn, then these ‘other’ qualifications can easily make up for what you may lack in the original job spec.
Failing that, you could always take up peter_b’s offer and apply to Sega in the UK.
Hope that helps.