To asset pricing, mathematical skills are essential. To my knowledge, there are 3 professors in my department (I am in department of economics, finance research group) came from Math Department. They were hard core mathematicians. Now their research topics are about quantitative finance, time series
The next level is econometrics, many of my colleagues here are doing research in that field. they need to build model themselves, and calibrate with real data and see how their model works. I think it requires quite some skills in math.
Then there are also empirical researchers, behavior economists, lots of them also need to do modeling, fx model personal/firm consumption, life cycle model, pension saving etc. even for those who don't have to do modelling, they still have to use advanced econometrics methods to interpret the data in order to be able to interpret an economic behavior.