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)