SAMIM GHAMAMI

Instructor Since: 2015

Samim Ghamami is an economist, strategist, and researcher. He is currently the chief economist at the New York State Insurance Fund, overseeing and leading economics, investment, and markets research. He is a member of the Economic Club of New York and the Bretton Woods Committee.

Ghamami is a recipient of the SEC Chair’s Award for Excellence because of his work on US Treasury market reforms. He has worked as a senior economist at the U.S. Securities and Exchange Commission with the SEC Chair and leadership team on the reform of the US Treasury market and several other capital market initiatives. He has also been a senior economist and a senior strategist at Goldman Sachs and Millennium Management. Ghamami has been an adjunct professor of economics at Columbia University and a senior researcher at UC Berkeley Center for Risk Management Research and the Department of Economics. He has also been an associate director and a senior economist at the U.S. Department of the Treasury and an economist at the Board of Governors of the Federal Reserve System. He is an equity holder at SOFR Academy and was a senior advisor there from 2021 to 2025.

Ghamami’s work has broadly focused on the interplay of finance and macroeconomics. His work on asset management, economic policy, financial stability, financial regulation, banking, digital asset markets, private credit, and central clearing has been presented and discussed at central banks, international financial institutions and has been highlighted by the Financial Times and Risk.net. He has discussed and presented his work at the CNBC, Financial Times’ Global Banking Summit and the Financial Times’ Outstanding Directors Exchange events. Ghamami has been an advisor to the Bank for International Settlements and has worked as an expert with the Financial Stability Board on post-financial crisis reforms. He has served on the National Science Foundation panels on Financial Mathematics and has also served on the advisory board of the Mathematics in Finance Program at NYU Courant Institute.

Ghamami has been a visiting scholar at the Department of Economics at UC Berkeley, a financial economist at Barclays, an adjunct professor at the University of Southern California, and a post-doctoral researcher at the CREATE Homeland Security Center.

Ghamami received his Ph.D. in Finance and Operations Research from USC in 2009. His publications have appeared in top academic and practitioner journals. Ghamami holds a Master of Science (2003) from the University of Tehran in Operations Research and a Bachelor of Science (2000) from the Iran University of Science and Technology in Operations Research and Industrial Engineering.

SELECTED PUBLICATIONS
Skin in the Game: Risk Analysis of Central Counterparties (October 4, 2023)

Rama Cont and Samim Ghamami

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Collateralized Networks (2019-01)

Samim Ghamami and Paul Glasserman

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Submodular Risk Allocation (2019-01)

Samim Ghamami and Paul Glasserman

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Does OTC Derivatives Reform Incentivize Central Clearing? (October 2017)

Samim Ghamami and Paul Glasserman

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Submodular Risk Allocation (August 1, 2017)

Samim Ghamami and Paul Glasserman

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Derivatives Pricing under Bilateral Counterparty Risk (April 12, 2015)

Samim Ghamami and Peter Carr

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Static Models of Central Counterparty Risk (2015)

Samim Ghamami

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Efficient Monte Carlo CVA Estimation (December 2014)

Samim Ghamami and Bo Zhang

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Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement (July 23, 2014)

Samim Ghamami and Bo Zhang

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Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA (2014)

Samim Ghamami and Lisa Goldberg

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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 (October 29, 2013)

Samim Ghamami and Amy Ward

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Improving the Asmussen-Kroese-Type Simulation Estimators (2012)

Samim Ghamami and Sheldon Ross

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Improving the Normalized Importance Sampling Estimator (2012)

Samim Ghamami and Sheldon Ross

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Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process (Spring 2010)

Samim Ghamami and Sheldon Ross

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Efficient Simulation of a Random Knockout Tournament (Summer 2008)

Samim Ghamami and Sheldon Ross

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