Solving practical problems from a "theoretical" viewpoint is one of the most rewarding challenges to face. Starting off with an idea, moving on to some pen and paper work and then a bit of programming (read... screaming at your computer hoping that the bug fixes itself).
With each step forward you verify the idea that you started with. A final 'real-life' experiment to complete the tremendous difficult path that you've undergone.
Yeah, that is what I like to do. It is a strange mixture of a study in mathematics, a relatively short career in the financial industry and a strong desire to work.