Profile of Dr. Stefanie Grimm

Fields of Activity / Competences

• Stochastic filter, especially HMM and particle filter
• Interest modelling
  
• Design and development of efficient algorithms in the Conspicuity detection

 

Publications

Major Publications

• Grimm, S.; Erlwein-Sayer, C.; Pieper, A.; Alsac, R.:
  Forecasting Corporate Credit Spreads: Regime-Switching in LSTM.
  Available at SSRN: https://ssrn.com/abstract=4003338, (2021).
• Grimm, S.; Erlwein-Sayer, C.; Mamon, R.:
  Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
  Nonlinear Analysis: Hybrid Systems, Volume 35, (2020).
• Grimm, S.; Erlwein-Sayer, C.; Ruckdeschel, P.; Sass, J.; Sayer, T.:
  Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
  Applied Stochastic Models in Business and Industry, S. 1-28, submitted to peer-reviewed journal, (2019).
  
• Grimm, S.:
  An Interest-Rate Model with Regime-Switching Mean-Reversion Level
  Dissertation, TU Kaiserslautern (2016).

A collection of publications by Stefanie Grimm in the Fraunhofer-Publica