SCU's admissions for math program is done by this one professor, I forgot his name, but yeah... you're not going to be exposed to ANY research activities. It's just class, class, class.
If you're in north cal, Berkeley is probably most prominent as it's one of the first schools to offer an advanced degree in financial engineering. Stanford MSE is also great, although not specifically tailored towards Financial Engineering. The nature of that specific program is mathematically quite rigorous.