Via Steve Hsu, I ran across the cover article from Alpha magazine, a magazine for the hedge fund industry, entitled The New Math. It describes the role physicists are playing in several hedge funds, developing sophisticated trading strategies. One of the best known of the organizations doing this is Renaissance Capital run by Jim Simons, and its success is now responsible for funding the new Simons Center at Stony Brook.
Two of the theoretical physicists featured in the article were fellow graduate students at Princeton while I was there. One of them, Marek Fludzinski (who was a couple years ahead of me), quickly left academia and went on to a career in finance, ending up founding the Thales hedge fund, which he still runs. The other, John Moody (more about him here), was in my class and so I got to know him quite well, but I had lost track of him in recent years. He worked with Frank Wilczek on axions and left Princeton for Santa Barbara after Wilczek went there to the ITP.
In recent years quite a few mathematics Ph.D.s and a very large number of particle theory Ph.D.s have ended up in the finance industry, and the article describes the kinds of things that they are doing. The impact of the recent melt-down in the credit markets remains to be seen: maybe there will be fewer jobs available in this field, or maybe demand will increase for people with this kind of technical background as companies pursue ever more sophisticated strategies.