Fields of Activity / Competences
- Stochastic filter, especially HMM and particle filter
- Interest modelling
- Design and development of efficient algorithms in the Conspicuity detection
- 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)