Malich L. Economical-mathematical modeling and forecasting the securities characteristics

Object of research: issuers and investors of stock market in issue and circulation operations. Purpose of research: development of economic and mathematical tools of estimation and forecasting of securities' characteristics on primary and secondary markets in conditions of transition economy. Methods of research: economic and mathematical modeling, analysis and synthesis methods, probability theory, mathematical statistics, optimization methods, simulation and series theory. Results: system analysis of native stock market, securities characteristics, issue and circulation indexes is carried out; conception of economic and mathematical modeling of securities characteristics and their assembling into a portfolio is formed; economic and mathematical models of forecasting of costs and profitability of bonds in conditions of strict taxation is synthesed; risk of bond operation is estimated, problem of operative formation and management of immunized risky and non-risky assets portfolio is solved; algorithmo f securities characteristics forecasting and portfolio management is developed; results of research are approved in DF JSCB "Novy" with economic effect of 240 of thousands of hryvnia. Novelty: economic and mathematical models of bounds value forecasting are synthesed; economic and mathematical models of bond's value and profitability in conditions of non-payments and bonds rating by lead issuers are developed; economic and mathematical models of issue characteristics forecasting by means of utility function are developed; modern criteria of portfolio estimation are modified; economic and mathematical models of price evolution and portfolio assembly allowing the ability of dynamic variation of asset variation. Field of use: country level.