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Samim Ghamami, Ph.D. - Publications

Affiliations: 
2009 Industrial and Systems Engineering University of Southern California, Los Angeles, CA, United States 
Area:
Operations Research, System Science Engineering
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11 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2019 Ghamami S, Glasserman P. Submodular Risk Allocation Management Science. 65: 4656-4675. DOI: 10.1287/Mnsc.2018.3156  0.33
2017 Carr P, Ghamami S. Derivatives Pricing Under Bilateral Counterparty Risk Journal of Risk. 20: 77-107. DOI: 10.2139/Ssrn.2588487  0.406
2017 Ghamami S, Glasserman P. Does OTC Derivatives Reform Incentivize Central Clearing Journal of Financial Intermediation. 32: 76-87. DOI: 10.1016/J.Jfi.2017.05.007  0.347
2015 Ghamami S. Derivatives Pricing under Bilateral Counterparty Risk Social Science Research Network. 2015: 1-28. DOI: 10.17016/Feds.2015.026  0.407
2015 Ghamami S, Zhang B. Efficient Monte Carlo CVA estimation Proceedings - Winter Simulation Conference. 2015: 453-464. DOI: 10.1109/WSC.2014.7019911  0.443
2014 Ghamami S, Zhang B. Efficient Monte Carlo counterparty credit risk pricing and measurement Journal of Credit Risk. 10: 87-133. DOI: 10.21314/Jcr.2014.179  0.503
2014 Ghamami S, Goldberg LR. Stochastic intensity models of wrong way risk: Wrong way CVA need not exceed independent CVA Journal of Derivatives. 21: 24-35. DOI: 10.17016/Feds.2014.054  0.353
2013 Ghamami S. Counterparty Credit Risk Quantitative Finance. 13: 1863-1865. DOI: 10.1080/14697688.2013.789546  0.3
2012 Ghamami S, Ross SM. Improving the asmussen-kroese-type simulation estimators Journal of Applied Probability. 49: 1188-1193. DOI: 10.1239/Jap/1354716666  0.475
2012 Ghamami S, Ross SM. Improving the normalized importance sampling estimator Probability in the Engineering and Informational Sciences. 26: 569-572. DOI: 10.1017/S0269964812000198  0.461
2010 Ross SM, Ghamami S. Efficient Monte Carlo barrier option pricing when the underlying security price follows a jump-diffusion process Journal of Derivatives. 17: 45-52. DOI: 10.3905/Jod.2010.17.3.045  0.457
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