Since my family also lives in Texas I searched there for an MFE program as well. However, the only schools I could find were Texas A&M's Applied Math Master's with a concentration in Financial Mathematics and UT Dallas' Master's of Finance with a concentration in Financial Engineering and Risk Management.
I you're interested in energy trading, I would look into the University of Houston or Mays Business School at A&M.
Other than that, your closest out-of-state option is probably Oklahoma State's MS in Quantitative Financial Economics.
If you're interested in energy trading then definitely take a look at the MBA programs at Rice, UT, UH, A&M. If you're dead set on a quant role then check out Georgia Tech's QCF program - that's what they call their FE program. GA Tech is not too far from Texas and has a large network of energy connections from my understanding. Additionally I've got to plug my alma mater's interest in energy, Claremont Graduate University's FE program has an energy derivative course and hosts an energy conference.
I live in Dallas, TX and I'm actually starting GaTech's QCF program in a few weeks; its almost 800 miles from Dallas to Atlanta (13 hour drive). While GaTech definitely has the best Financial Engineering program in the southeastern US I would not go as far to say that its close to Texas. That being said, GaTech's slant towards energy trading and their connections with the industry would certainly help you find a career in Texas, most likely in Houston.
Would it be worth leaving Texas for 3 semesters knowing that you could possibly have an excellent career there when you're finished with school?
In addition, LSU seems to have a mathematical finance program as well.
Thanks everyone for the input, I'm going to look at all of the suggestions and keep up the research. It's a hard sell to move anywhere I think away from our family, we have a 6 month old and all of the "Grandmas" would be very...resistant. Congrats Caesar on going to GaTech. I'm in D/FW too.
On another note, I was looking at the program at Oxford University and with the converstion rates and COL calculated in it seems like their program is about $20k cheaper overall (as compared to CMU or Stanford) and it's just 9-10 months. Any thoughts?