SAMIM GHAMAMI

Instructor since 2015

SAMIM GHAMAMI
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Samim Ghamami is currently the Senior Economist and Vice President at the Financial Services Forum, a senior researcher at UC Berkeley Center for Risk Management Research, an Adjunct Professor of Finance at NYU Tandon School of Engineering, and an Adjunct Associate Professor of Economics at Columbia University.

Ghamami has been a senior financial economist and a senior Vice President at Goldman Sachs. He has also been an Acting Associate Director and a senior economist at the U.S. Department of the Treasury, Office of Financial Research, and an economist at the Board of Governors of the Federal Reserve System.

Ghamami’s research has broadly focused on financial economics and more recently on the interplay between finance and macroeconomics. His work on banking and central clearing has been presented and discussed at central banks. He 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 in 2016 and 2017. Ghamami has also served on the National Science Foundation panel on Financial Mathematics in 2017 and 2018.

Ghamami has also been a visiting scholar at the Department of Economics at UC Berkeley, a senior quantitative researcher at MSCI, a quantitative researcher at Barclays Capital, an Adjunct Professor at USC, and a post-doctoral researcher at CREATE Homeland Security Center.

Ghamami received his Ph.D. in Mathematical Finance and Operations Research from the University of Southern California in 2009, where his principal advisor was Sheldon Ross.

His publications have appeared in different journals including Management ScienceJournal of Applied ProbabilityMathematics of Operations ResearchJournal of Financial IntermediationJournal of Credit RiskJournal of DerivativesProbability in the Engineering and Informational SciencesQuantitative FinanceJournal of Risk, and International Journal of Financial Engineering.

SELECTED PUBLICATIONS
Collateralized Networks (2019-01)

Samim Ghamami and Paul Glasserman

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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Other Faculty

MEHDI H. SONTHONNAX

MEHDI H. SONTHONNAX

RICHARD LINDESEY

RICHARD LINDESEY

MERRELL HORA

MERRELL HORA

DEANE YANG

DEANE YANG

Chair, Committee on Mathematics in Finance, Professor of Mathematics

RIAN JOHNSON

RIAN JOHNSON

Administrative Aide

ARIANE SANEY

ARIANE SANEY

Director, Office of Career Services

NANCY ANCOWITZ

NANCY ANCOWITZ

Director, Office of Career Services

KENNETH WINSTON

KENNETH WINSTON

Instructor since 2019

LEON TATEVOSSIAN

LEON TATEVOSSIAN

Instructor since 2009

RODNEY SUNADA-WONG

RODNEY SUNADA-WONG

Instructor since 2014

AMIR SADR

AMIR SADR

Instructor since 2017

GORDON RITTER

GORDON RITTER

Instructor since 2013

ROBERT REIDER

ROBERT REIDER

Instructor since 2007

MIQUEL NOGUER I ALONSO

MIQUEL NOGUER I ALONSO

Visiting Professor at NYU Courant Institute

FABIO MERCURIO

FABIO MERCURIO

Instructor in 2011

LEE MACLIN

LEE MACLIN

Instructor since 2000

YADONG LI

YADONG LI

Instructor since 2015

DAVID LI

DAVID LI

Instructor since 2020

ALEXEY KUPTSOV

ALEXEY KUPTSOV

Instructor since 2009

ROBERT V. KOHN

ROBERT V. KOHN

Professor of Mathematics; Chair of the Committee on Mathematics in Finance (2003-2006 and 2009-2011); Instructor since 1998

IRENA KHREBTOVA

IRENA KHREBTOVA

Director, Risk Management at Bank of America

ALIREZA JAVAHERI

ALIREZA JAVAHERI

Instructor since 2011

JONATHAN B. GOODMAN

JONATHAN B. GOODMAN

Professor of Mathematics; Founding Chair of the Committee on Mathematics in Finance; Instructor since 2000

SAMIM GHAMAMI

SAMIM GHAMAMI

Instructor since 2015

ERAN FISHLER

ERAN FISHLER

Instructor since 2008

TRAVIS FISHER

TRAVIS FISHER

Instructor since 2016

MONTY ESSID

MONTY ESSID

Instructor since 2018

GENE EKSTER

GENE EKSTER

Instructor since 2020

BRUNO DUPIRE

BRUNO DUPIRE

Instructor since 2005

IVAILO DIMOV

IVAILO DIMOV

Instructor since 2017

PAUL BOURGADE

PAUL BOURGADE

Associate Professor of Mathematics, Chair of Financial… Mathematics M.S. Program.

ILIA BOUCHOUEV

ILIA BOUCHOUEV

Instructor since 2020

JEROME BENVENISTE

JEROME BENVENISTE

Instructor since 2015

FARSHID M. ASL, PH.D

FARSHID M. ASL, PH.D

Instructor since 2005

KENNETH C. ABBOTT

KENNETH C. ABBOTT

Instructor since 2004

LEIF ANDERSEN

LEIF ANDERSEN

Industry Adviser to the Program

PETTER N. KOLM

PETTER N. KOLM

Program Director, Clinical Professor of Mathematics

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