Following are resources that can help you get started on some selected topics from Stochastic Optimization, Finance and OR. This list is by no means exhaustive and the topics mentioned merely indicate the current interest of group members.
Gaussian Processes for Machine Learning
Gaussian Process Summer School
Reinforcement Learning (David Silver's youtube playlist)
Tutorial on Bayesian Optimization (Frazier)
Bayesian Optimization (book by Roman Garnett)
Numerical Optimization by Nocedal and Wright
Multi-arm bandits (Book by Tor Lattimore)
Introduction to Stochastic Calculus (Book by Klebaner)
Stochastic Calculus for Finance I (Shreve)
Stochastic Calculus video lectures (Mathe Mannhiem)
Mathematical Finance Video lectures (Mathe Mannhiem)
Option pricing video lectures by Cvitanic
Snells Envelope for Optimal Stopping problem
Performance modeling (book by Harchol-Balter)
Simulation (introductory book by Sheldon Ross)
Stochastic Simulation (book by Asmussen and Glynn)
Pricing and Revenue Optimization (book by Phillips)
Choice modeling theory (book by Train)
Game theory (book by Osborne & Rubinstein)