Very encouraging to see this advertisement. The highlights:

Jane Street Capital (http://janestcapital.com) is a proprietary
trading company located in Manhattan. We’re looking for students
interested in internships for the summer of 2006…

One unusual attraction of the job is that the large majority
of our programming is done in OCaml.

It’s great to see industry adopting advanced programming languages. Finance is not an entirely new domain for functional programming. Simon Peyton-Jones wrote a paper some time ago on a combinator library for financial contracts. This work has been commercialised, with the implementation again using O’Caml. In fact there is large literature of domain specific languages for financial applications (for example Risla) so there is certainly a market for applying programming language theory in this area.