SAMIM GHAMAMI

Instructor Since: 2015

Samim Ghamami is currently an economist at the U.S. Securities and Exchange Commission, the Division of Economic and Risk Analysis (DERA), a senior researcher and an adjunct professor of finance at New York University, a senior researcher at UC Berkeley Center for Risk Management Research and the Department of Economics, and a senior advisor at SOFR Academy. Ghamami also serves on the advisory board of the Mathematics in Finance Program at the NYU Courant Institute.

Ghamami has been a senior economist, a senior strategist, and a senior vice president at Goldman Sachs. He has also 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. Ghamami 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 Board of Governors of the Federal Reserve System.

Ghamami’s work has broadly focused on financial economics, quantitative finance, and on the interplay of finance and macroeconomics. His work on banking, asset management, risk management, economic policy, financial stability, financial regulation, 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, an adjunct professor at the University of Southern California, and a post-doctoral researcher at CREATE Homeland Security Center.

Ghamami received his Ph.D. in Mathematical Finance and Operations Research from USC in 2009. His publications have appeared in different journals including Management Science, Journal of Applied Probability, Mathematics of Operations Research, Journal of Financial Intermediation, Journal of Credit Risk, Journal of Derivatives, Probability in the Engineering and Informational Sciences, Quantitative Finance, Journal of Risk, and International Journal of Financial Engineering. 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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