I was reading the Baruch FE course descriptions on the website to try to get a better understanding of the program and what the classes are like. I know its financial math and probably involves mostly quantitative work, but how much math theory is involved in these classes?
All classes are loaded more or less with math. The most demanding math requirements are in the Stochastic Calculus class, because we have to deal with measure theory etc. According to your profile I think you will be fine. Overall, it's not only about the math. There are 3 main components at the program: Math + Finance + C++, which have to be mastered very well.
The C++ is not that hard, BUT it's hard to master C++ in a short period of time. The learning process requires a lot of coding and debugging. Thus, if you have a chance, master your C++ skills as much as you can. It will help you a lot during the program, and finally at the job.
I should state from the get go that I first touched c++ about 1yr ago. I took the 1st c++ class and it would have been nice if I took the 2nd one as well. If you have no knowledge of c++ get as much as you can while you can. C++ is a requirement to get into the program and one definitely needs it.