Author

Samim Ghamami

Observed name: Ghamami, Samim (author)

Observed institutions: University of Southern California, United States Department of the Treasury, United States Securities and Exchange Commission, Federal Reserve, Federal Reserve Board of Governors, Courant Institute of Mathematical Sciences, Goldman Sachs (United States), Office of Financial Research, New York University, University of California, Berkeley

ORCID: 0000-0003-1196-0595

Observed ORCID: 0000-0003-1196-0595

OpenAlex ID: A5035254152

Does OTC derivatives reform incentivize central clearing?

2017 · Samim Ghamami, Paul Glasserman · Journal of Financial Intermediation · 51

Dynamic Scheduling of a Two-Server Parallel Server System with Complete Resource Pooling and Reneging in Heavy Traffic: Asymptotic Optimality of a Two-Threshold Policy

2013 · Samim Ghamami, Amy R. Ward · Mathematics of Operations Research · 42

Collateralized Networks

2021 · Samim Ghamami, Paul Glasserman, et al. · Management Science · 26

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Does OTC Derivatives Reform Incentivize Central Clearing?

2016 · Samim Ghamami, Paul Glasserman · SSRN Electronic Journal · 25

Static models of central counterparty risk

2015 · Samim Ghamami · International Journal of Financial Engineering · 23

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

2014 · Samim Ghamami, Lisa R. Goldberg · Finance and Economics Discussion Series · 15

Stochastic Intensity Models of Wrong Way Risk:Wrong Way CVA Need Not Exceed Independent CVA

2014 · Samim Ghamami, Lisa R. Goldberg · The Journal of Derivatives · 14

Improving the Asmussen–Kroese-Type Simulation Estimators

2012 · Samim Ghamami, Sheldon M. Ross · Journal of Applied Probability · 13

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Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process

2010 · Sheldon M Ross, Samim Ghamami · The Journal of Derivatives · 12

Efficient Simulation of a Random Knockout Tournament

2008 · Ross Sh.M., Samim Ghamami · Journal of industrial and systems engineering. · 9

Efficient Monte Carlo counterparty credit risk pricing and measurement

2014 · Samim Ghamami, Bo Zhang · The Journal of Credit Risk · 8

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

2014 · Samim Ghamami, Lisa R. Goldberg · SSRN Electronic Journal · 7

Central Counterparty Default Waterfalls and Systemic Loss

2022 · Samim Ghamami, Mark Paddrik, et al. · Journal of Financial and Quantitative Analysis · 6

Derivatives Pricing Under Bilateral Counterparty Risk

2015 · Peter Carr, Samim Ghamami · Finance and Economics Discussion Series · 6

Does OTC Derivatives Reform Incentivize Central Clearing?

2016 · Samim Ghamami, Paul Glasserman · SSRN Electronic Journal · 5

Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement

2014 · Samim Ghamami, Bo Zhang · Finance and Economics Discussion Series · 5

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

2013 · Samim Ghamami, Lisa R. Goldberg · SSRN Electronic Journal · 4

Submodular Risk Allocation

2019 · Samim Ghamami, Paul Glasserman · Management Science · 3

Counterparty Credit Risk

2013 · Samim Ghamami · Quantitative Finance · 3

Derivatives Pricing Under Bilateral Counterparty Risk

2015 · Peter Carr, Samim Ghamami · SSRN Electronic Journal · 2

Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process

2010 · Sheldon M. Ross, Samim Ghamami · The Journal of Derivatives · 2

Skin in the game: risk analysis of central counterparties

2025 · Rama Cont, Samim Ghamami · The Journal of Financial Market Infrastructures · 1

Collateralized Networks

2020 · Samim Ghamami, Paul Glasserman, et al. · SSRN Electronic Journal · 1

Collateralized Networks

2019 · Samim Ghamami, Paul Glasserman, et al. · SSRN Electronic Journal · 1

Derivatives pricing under bilateral counterparty risk

2017 · Peter Carr, Samim Ghamami · The Journal of Risk · 1

Works count: 34

Citation count: 288

H-index: 9

I10-index: 9