Guidance regarding research in Mathematical Physics

I am also a mathematics student who likes physics. My advice would be:

• I learned a bit of QFT following Srednicki's book and Tong's lecture notes. A note: the book focuses mainly on the path integral approach, with very little in the way of S-matrix techniques.
• For GR, I found Jetzer's lecture notes and, knowing the guy, Graf's lecture notes ought to be great.
• I have learned String theory on some book, but I don't remember the title right now. If you want can look it up.

I think here at ETH there's a pretty good group doing mathematical physics, if you want to try to apply and to move to Switzerland.

Also general advice: If you are interested in a topic in physics, always look if Tong has written something on it. His lecture notes are usually very good.