PS: I did a physics degree, so my favourite books are maths for physicists... maybe former Maths students will have "purer" books to recommend. Anyway, between these two, you'll have a good year or two of hard studying before you need to buy another one :-)
Arfken was also tough, but excellent: http://www.amazon.com/Mathematical-Methods-Physicists-Sixth-...
Yes, these books are fucking expensive.
PS: I did a physics degree, so my favourite books are maths for physicists... maybe former Maths students will have "purer" books to recommend. Anyway, between these two, you'll have a good year or two of hard studying before you need to buy another one :-)