Thanks for all your responses (will go though the various links) . I agree that video tutorials on their own would not explain everything. Actually I am going through Options, Futures and other Derivatives by John C Hull, but have struggle a lot to get grips over various concepts. I think additional video tutorials will help in improving my understanding.
Courses like http://www.cqf.com/home are quite expensive (I am based in London).
I have been a big fan of khanacademy. He is quite good than most other Math teachers but I doubt that he covers topics like Black-Scholes equation etc.
I can find online tutorials for certification like FRM (for example - http://www.bionicturtle.com/ or http://www.schweser.com/frm/, and a couple more) . Would they be good in terms of getting me a job into the financial markets as a Quant? I am a programmer (Java and C++) with 10 years of experience (which is not in the financial sector) and have done a lot of Math during my school days and during my BTech at the Uni. I like Math a lot and hence the interest in the field. What would be the best way of understanding various concepts of Quantitative fianance? Would studying at home (and taking help from you folks - who have been helpful always) suffice? You inputs would be highly appreciated.
For derivatives you can take Robert McDonald's Derivatives Markets. I really like it and Wilmott 3 volume books also deepen your understanding in many ways. The first book is not that expensive also. You mentioned C++ and Java not in financial sector, so if you wish to switch to finance programming get Daniel Duffy's financial instruments pricing in C++ and you'll find many interesting derivatives instruments' algorithms there.