I’ve recently come across this library in a book I picked up over the holidays. The book is called ALM Modeling and Balance Sheet Optimization: A Mathematical Approach to Banking. If you’re looking for an interesting domain to apply optimization theory towards, ALM and balance sheet optimization has a good set of problems to work on. I have not worked for a bank that takes optimization to the extreme discussed in this book, so it was a fresh view on what has become somewhat routine work.