Given that LSE is right in the heart of London and is considered Tier-1 university in the UK, I think you should go for it over Cambridge. LSE can be a bit theoretical and research focused, based on my experience, so that's why I'm giving FinMath a preference over just Maths. Of course this is based on your career goal to work in the industry.
If you are an international student, then you should prefer the USA, for the following reasons:
- programs are better in the US, the best of the best students from their countries come to study here (just see the pre-requisites of the US MFE courses, you'll understand)
- with the new talent VISA program you'll be eligible for UK VISA as well, if you go to the US universities that are mentioned in their list (for ex: Columbia, NYU, UCB, UChicago etc..)
- the courses are longer in the US (more time to study)
- there is a mandatory internship/industry project in most of them
(You'll need to confirm the second point with the HRs in the UK though)
If you are a UK national, then consider yourself working in a HFT, just make sure you survive the competition among the UK citizens (not too difficult!).
Before enrolling in any course, you have to do a lot of research and also talk to the alumni, to get a better picture of not only the program but also the career outcomes.
Good luck!
