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First of all, your undergrad school doesn't matter much in determining where you go. You can go from a small public university in PA to an Ivy League or equivalent. I go to Columbia and the students who go here come from all over.
Now. I don't think it matters what you get your master's degree in - operations research or financial engineering - when it comes to your future goals. The reason is because for PhD programs (especially ones like applied math, applied stats, finance, OR, etc.), as long as you have the stated prerequisites you aren't required to have any specific major. If you are a strong applicant and show evidence that you know your stuff, they aren't going to reject you because your MS is in math instead of stats or something like that. What you need to do is make sure that whatever you study, you take the classes you're going to need as prerequisites to a PhD program, and that you go to a university with a strong research program in finance and whatever it is you want to do research on. When you go for your master's, get involved with a research lab and work/volunteer as an RA.
I also expect that a field like FE or OR would expect less formal research experience from prospective students. It's not a traditionally theoretical field, and most of its expert faculty members probably spent years in the private sector as financial engineers/corporate statisticians before they got a PhD and started teaching and doing research. In applied fields, often work experience is just as valued as formal research in a lab because the work is so applied. So I think the kind of experience that you are getting is fine to start off and will "count" when you apply, although you should also try to get some more formal research experience if you want a PhD.
Also look into programs that may have different names but teach the same thing, like "quantitative finance."
My university (Columbia) offers an MS in both fields (financial engineering, operations research), and a master's in mathematics in finance.
Financial Engineering: NYU Poly, Berkeley (Haas), UCLA (Anderson), Cornell (program is in Manhattan), Baruch College (inexpensive! and a top 10 program), Temple (Fox), Michigan, NC State, Claremont Graduate University, Kent State
Operations Research: Georgia Tech, Carnegie Mellon (top program), Cornell, Case Western, UNC-Chapel Hill, Rutgers, Princeton (MSEng - geared towards people who want a PhD), USC (Viterbi), Northeastern, William & Mary...there are a lot of OR programs
Others that may interest you: Carnegie Mellon's computational finance; Stanford's mathematical finance, NYU's mathematics in finance, Boston U's mathematics in finance, UIUC's finance, Rutgers mathematics or quantitative finance programs,
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