It's non-financial.
The department is "Applied Physics and Applied Math", and the focus is on Applied Physics. They also have a recent program in "Medical Physics." They run a big Plasma Physics lab at Columbia. I know several very bright people who came through that program and eventually found their way into Wall Street -- but they didn't learn any finance in that program.
If you're looking to learn about financial engineering at Columbia, then the Industrial Engineering and Operations Research department is the place to be.
