Financial Economics, and it's not finance and it's not economics, somewhat of a combo but with a greater emphasis on econometric research and statistical analysis.
I do not believe there is a single undergraduate degree program offered in financial engineering, but to your answer, I prefer Georgia Tech's Quantitative Finance graduate program, very similar.
Math, physics, and computer sci don't help understanding markets and why they move the way they do. Not that they aren't smart, but that without a knowledgable financial background makes it akin to gambling b/c there is no solid foundation in macroeconomics or microeconomics, let alone understanding of financial theories that are completely relevant if you really wanted to become a serious trader. You'll have to learn it any way, and I'm not saying that degree doesn't help, it's just quicker not having to learn how to interpret econometric data without any training.