I was choosing between CMU NY MSCF and Columbia MFE. The reason I chose MFE is because their program teaches you the most the fastest by cramming information into your head very early on. That makes you better able to interview early as in my experience, I had an advantage over Princeton and CMU counterparts. Columbia's MFE classes are taught at a PhD level, and this really helped with the job search which geared up in September while CMU and Princeton were focused on teaching people the "foundation." Also, Columbia's curriculum is a lot more hands on. The one thing that Columbia sucks at right now is teaching programming, but they are getting better, and if you already know it, you'll find it that much easier.
But honestly, who cares about measure theory? Better to learn stuff that are actually asked in interviews, and used in the field. And no, stochastic calculus is not as important as incoming students would like to think. Columbia is just good at teaching you exactly what you need to know, and getting you out there to get a job. Once you get a job, you will not care anymore. I swear. I didn't think it would happen to me or my friends, but it did. You have no idea.
But honestly, who cares about measure theory? Better to learn stuff that are actually asked in interviews, and used in the field. And no, stochastic calculus is not as important as incoming students would like to think. Columbia is just good at teaching you exactly what you need to know, and getting you out there to get a job. Once you get a job, you will not care anymore. I swear. I didn't think it would happen to me or my friends, but it did. You have no idea.