- Rama Cont and Samim Ghamami. Skin in the Game: Risk Analysis of Central Counterparties, Working Paper, March 2024.
- Samim Ghamami, Paul Glasserman, and Peyton Young. Collateralized Networks, Management Science, 2021.
- Rama Cont and Samim Ghamami. Skin in the Game: Risk Analysis of Central Counterparties, Work in progress, August 2021.
- Samim Ghamami and Paul Glasserman. Submodular Risk Allocation, Management Science, 65 (10), 2019.
- Samim Ghamami and Paul Glasserman. Central Clearing and Unintended Consequences of OTC Derivatives Reform, OFR Brief, September 2017.
- Samim Ghamami and Paul Glasserman. Does OTC Derivatives Reform Incentivize Central Clearing? Journal of Financial Intermediation, Volume 32, 2017. The Office of Financial Research Working Paper, 2016.
- Peter Carr and Samim Ghamami. Derivatives Pricing under Bilateral Counterparty Risk. Journal of Risk, 20 (1), 2017. Finance and Economics Discussion Series 2015-026, Board of Governors of the Federal Reserve System.
- Samim Ghamami, Baeho Kim, Dong Hwan Oh. Initial Margin Modeling of Credit Default Swap Portfolios, Work in progress, March 2018.
- Samim Ghamami. Static Models of Central Counterparty Risk, International Journal of Financial Engineering, 2(2), 2015.
- Samim Ghamami and Bo Zhang. Efficient Monte Carlo CVA Estimation. Proceedings of the 2014 Winter Simulation Conference. Savannah, GA: IEEE Press Piscataway, pp. 453-463, 2014.
- Samim Ghamami and Lisa Goldberg. Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA, Journal of Derivatives, 21 (3), 2014. Finance and Economics Discussion Series 2014-54, Board of Governors of the Federal Reserve System.
- Samim Ghamami and Bo Zhang. Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement, Journal of Credit Risk, 10(3), 2014. Finance and Economics Discussion Series 2014-114, Board of Governors of the Federal Reserve System.
- Samim Ghamami and Amy Ward. 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, Mathematics of Operations Research, 38 (4), 2013.
- Samim Ghamami and Sheldon Ross. Improving the Asmussen-Kroese Type Simulation Estimators, Journal of Applied Probability, 49 (4), 2012.
- Samim Ghamami and Sheldon Ross. Improving the Normalized Importance Sampling Estimator, Probability in the Engineering and Informational Sciences, 26 (4), 2012.
- Sheldon Ross and Samim Ghamami. Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process, Journal of Derivatives, 17 (3), 2010.
- Sheldon Ross and Samim Ghamami. Efficient Simulation of a Random Knockout Tournament, Journal of Industrial and Systems Engineering, 2 (2), 2008.
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