Financial engineering or FE is also called Math Finance, Operations Research, etc. etc.
Princeton has ORFE dept
Cornell has OR & IE
Columbia has a very strong FE dept (derman is the prof over there)
MIT has a very strong FE program (but mainly for grads...however some jr/sr get involved and also Prof. andrew ... is now p-t running hedge funds..)
Caltech's BEM could be a good launching pad
ne1 interested in FE - try to read 'My life as a quant" by derman - its pretty good...