Courant MathFin masters alum here.
My experience is skewed as I took the program during covid, where the majority of the classes were conducted online. Professors made their best effort of teaching online, but it was not ideal to teach maths on MS Paint/ digitally doodling over powerpoint slides. Students being completely silent during online classes didn't help either -- made it harder for me to raise questions or interject. My experience would've been more positive if all classes were taught in-person and on a blackboard. It was also a bit hard for me to get to know other classmates at that time, not only because of covid, but also because I am not fluent in Mandarin.
You would get a better and more positive perspective soliciting opinions from an alum that did the program after covid -- say class of 2022 and onwards -- as they get to take lectures in a standard classroom environment, and (unrelatedly) the student demographics seem to be less concentrated than before.
I believe I am a median student (at best) in my cohort. Courses are usually heavy on the theoretical side, and the program markets it as being "buy-side oriented"; from my rough recollection, my cohort landed on sell-side jobs more often than they did on buy-side. The toughest and most mathematically rigorous classes are usually conducted by the program director Petter Kolm himself. You would get the most out of the program (which I wish I did) if you come in with a bit of industry knowledge and some understanding of risk neutral pricing, fixed income pricing and Markowitz portfolio theory. Despite me struggling throughout the entire program, I enjoyed most of my coursework.
I cannot really compare this program to the others. I never did another math finance/ financial engineering program; I stopped double-guessing my choice of NYU soon after I got a day job. My colleagues and ex-colleagues of the same role are either from NYU courant mathfin, NYU tandon MSFE, or Columbia MS FE/Operations Research/Statistics, and we seldom bring up schoolwork in our conversations.