Washington University recommends a select number of study-abroad experiences that are geared toward students studying mathematics. Math majors planning to spend a semester or year abroad should consult with their advisors as early as possible.
If you're interested in spending a semester or a full year abroad with a serious emphasis on mathematics, this is a program to seriously consider. All teaching is in English, and the program is intended speifically for US/Canadian undergraduate mathematics majors. Several WashU mathematics majors have participated in this program, and all of them have reported having a great experience.
This semester-long program is taught in English at the Independent University of Moscow. Each semester, the American Mathematical Society offers scholarships to assist students in attending this program.
This summer program usually includes a study abroad option. Students with a special interest in applied mathematics should take a look.