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1

Efficient Monte Carlo Barrier Option Pricing When the Underlying Security Price Follows a Jump-Diffusion Process

Ross, Sheldon M, Ghamami, Samim

Journal:

The Journal of Derivatives

Year:

2010

Language:

english

File:

PDF, 418 KB

english, 2010

2

Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA

Ghamami, Samim, Goldberg, Lisa R.

Journal:

The Journal of Derivatives

Year:

2014

Language:

english

File:

PDF, 601 KB

english, 2014

3

IMPROVING THE NORMALIZED IMPORTANCE SAMPLING ESTIMATOR

Ghamami, Samim, Ross, Sheldon M.

Journal:

Probability in the Engineering and Informational Sciences

Year:

2012

Language:

english

File:

PDF, 204 KB

english, 2012

4

Does OTC derivatives reform incentivize central clearing?

Ghamami, Samim, Glasserman, Paul

Journal:

Journal of Financial Intermediation

Year:

2017

Language:

english

File:

PDF, 568 KB

english, 2017

5

Counterparty Credit Risk

Journal:

Quantitative Finance

Year:

2013

Language:

english

File:

PDF, 204 KB

english, 2013

6

Static models of central counterparty risk

Journal:

International Journal of Financial Engineering

Year:

2015

Language:

english

File:

PDF, 241 KB

english, 2015

7

Derivatives Pricing Under Bilateral Counterparty Risk

Journal:

SSRN Electronic Journal

Year:

2015

File:

PDF, 417 KB

2015

8

Submodular Risk Allocation

Ghamami, Samim, Glasserman, Paul

Journal:

Management Science

Year:

2019

Language:

english

File:

PDF, 893 KB

english, 2019

9

IMPROVING THE ASMUSSEN-KROESE-TYPE SIMULATION ESTIMATORS

SAMIM GHAMAMI and SHELDON M. ROSS

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 477 KB

english, 2012

10

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

Ghamami, Samim, Ward, Amy R.

Journal:

Mathematics of Operations Research

Year:

2013

Language:

english

File:

PDF, 669 KB

english, 2013

11

Improving the Asmussen–Kroese-Type Simulation Estimators

Ghamami, Samim, Ross, Sheldon M.

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 84 KB

english, 2012

12

Effi cient Monte Carlo Counterparty Credit Risk Pricing and Measurement

Ghamami, Samim, Zhang, Bo

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 461 KB

english, 2013

13

Improving the Asmussen–Kroese-Type Simulation Estimators

Ghamami, Samim, Ross, Sheldon M.

Journal:

Journal of Applied Probability

Year:

2012

Language:

english

File:

PDF, 99 KB

english, 2012

14

Does OTC Derivatives Reform Incentivize Central Clearing?

Ghamami, Samim, Glasserman, Paul

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 540 KB

english, 2016

15

Submodular Risk Allocation

Ghamami, Samim, Glasserman, Paul

Journal:

SSRN Electronic Journal

Year:

2017

File:

PDF, 485 KB

2017

16

Collateralized Networks

Ghamami, Samim, Glasserman, Paul, Young, Peyton

Journal:

SSRN Electronic Journal

Year:

2019

Language:

english

File:

PDF, 641 KB

english, 2019

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