Personally I really love the NYU Mathfin program because it offers a range of great pricing/modeling courses taught by prestigious professors from Courant. These courses will be very helpful if you want to work as a pricing quant or in a buyside company. I guess that's also the reason why a number of PhD graduates choose NYU over other MFE programs. I heard that the career service is also good (this is not verified but in their letters they mentioned that 95% students graduating this year have secured a full-time position).
I chose CMU for the following reasons: 1. strong career services, close alumni connection and great placement statistics. I'm targeting for a sell-side quant position for my first job, and CMU places a lot of students in banks. 2. I am an undergrad from CMU and I've already known a lot of students/professors in this program. The resources and connections I built here might make things easier. On the other hand NYU is a new environment to me and I will have to spend time getting myself familiar with it; 3. The curriculum is more applied and practical, which will be helpful for interviews.
It really won't make much difference whether you go to CMU or NYU. They are both great programs and will place you to a great place!
