Unfortunately sound attenuation is not easy, requires mass, and is not cheap. While it may not be practical in your situation, adding another layer of sheetrock, overlapping seams, etc. could get you ~25 dB of attenuation if the wall is airtight, and there are no holes, e.g. Electrical outlets that allow sound to leak.
Your best bet is to make nice, see when is an allowable time to listen loud, and stick to it. If that doesn't work look at headphones.