SAMIM GHAMAMI

Instructor Since: 2015

Samim Ghamami is currently an economist at the Securities and Exchange Commission where he has been working with the SEC Chair and leadership team on the reform of the Treasury market and several other capital market initiatives.  Ghamami is a recipient of the SEC Chair’s Award for Excellence due to his work on Treasury market reforms. He is a member of the Economic Club of New York, the Bretton Woods Committee, and a senior advisor at SOFR Academy. He has been a senior researcher at UC Berkeley Department of Economics and the Center for Risk Management Research and has served on the advisory board of the Mathematics in Finance Program at NYU Courant Institute. 

Ghamami has been a senior economist and a senior strategist at Goldman Sachs and at Millennium Management. He has been an adjunct associate professor of economics at Columbia University. In 2019, Ghamami moved to the Financial Services Forum through Goldman Sachs, where he was the senior economist and managing director. He has also been an associate director and a senior economist at the U.S. Department of the Treasury, Office of Financial Research, and an economist at the Federal Reserve Board.

Ghamami’s work has broadly focused on the interplay of finance and macroeconomics. His work on asset management, banking, macroeconomic policy, financial stability, financial regulation, central clearing, and digital asset markets has been presented and discussed at central banks and international financial institutions. Ghamami has discussed his work on Treasury markets, interest rates, inflation, and public debt at the Mercatus Center’s Macro Musings Podcast, MNI’s Market News & Fed Speak Podcast, and Moody’s Inside Economics Podcast. In his 2020-2021 research carried out for PIMCO, he anticipated the joint impact of the Fed’s revised monetary policy framework and the Covid-driven fiscal stimulus on inflation and stock-bond return correlation. He has also discussed his work at the Financial Times’ Global Banking Summit and the FT’s Outstanding Directors Exchange. Ghamami has been an advisor to the Bank for International Settlements and has worked as an expert with the Financial Stability Board on consequential post-financial crisis capital market reforms. He also served on the National Science Foundation panel on Financial Mathematics in 2017 and 2018.

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. 

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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