Damn I'm tired of applying for puny research grants (and not getting one most of the time)... Time to move on and implement plan B that I've been preparing for some time: I've decided to squeeze myself into quantitative finance! It's actually really interesting. I was greatly inspider by Emanuel Derman's "My life as a Quant", where he describes pretty similar circumstances to my own with his postdoc aspirations. I recommend the book to anyone considering leaving Academia.
From a mathematical point of view, I was a bit awe-struck by Pierre Henry-Labordere's "Analysis, Geometry and Modeling in Finance". Apparently there's a close connection between the geometry of black holes (well, at least the hyperbolic types) and stochastic volatility models! It would be extremely cool to be able to actually research and design models like that which would actually work and be useful! Anyway, I doubt real quant life is that fancy, but I'll be happy if the job involves PhD level math of some kind.
I'd love to hear other people's stories about switching from academia to industry or finance. Anyone here with similar experiences?