Congratulations!!! You should go to the program you think it's better for you. At least, you have the choice. There are plenty of applicant without that choice but again that choice is completely yours. You make your decision and you live with it.
Think about this, if you are indecisive making that decision, why somebody will trust you with their money to make decisions for them (manage it for them)?
I can express my preference but it should in no way affect your decision. So I won't do it
You need to do a side by side comparison of everything in the two programs:
courses offered, course syllabi, schedule flexibility, employment assistance, tuition, location
As we all know, NYU part-time is different from full-time in terms of placement assistance, were you admitted to full-time or part-time program?
Do you want to live in the financial center or prefer living in a smaller city far from major employers?
I would go to NYU because I like NY, I want to be close to employers, it is probably a bit cheaper than CMU. More important : as a person interested in Stats and with Stats background I would choose NYU since it offers full semester courses in Time Series, Statistical Arbitrage, Auto/Algo Trading, Portfolio Management. If your interests are not similar to mine, then my post is of no use to you. Anyway, my profile is not typical for MFE
It's really a hard decision to make. I think this is the kind of thing you want to hear:
I like the curriculum offered by CMU, but I also like the location of NYU. Under the current market condition I would prefer NYU a tiny little bit more.
The question is difficult because we are trying to compare apple to orange. So at last, the question of "which school" actually becomes "which feature" you regard as the most important. This is a value question, so there is no standard answer.
If you think placement is the most important, just check the statistics provided by the schools. If you think location is the most important, obviously NYU is in NYC. If you think a better match of the curriculum is the most important, CMU is relatively more programming intensive and NYU is more mathematics intensive. ...
Both are good programs. CMU costs twice as much as NYU. Cost of living in Pitt is probably half that of NYC. CMU has business school career service. NYU has location advantage. The number of CMU students is twice as much of NYU. Living in Pitt and NYC are as different as day and night. If you like capital of the world, then Pitt may feel like a small town to you. If you like C++, CMU has it while NYU is more vba/matlab.
Choosing a program is a function of how to maximize the return of your investments (time, money, lost opportunity) in a form of a job that best fits your career plan. Take into account all of these variables. Plan for best case scenario but prepare for the worst. For all we know, 2009 may be a bust.