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Peterson, J.E. (1991) Debt Markets and Instruments. In: Peterson, J.E. and Strachota, D.R., Eds., Local Government Finance: Concepts and Practices, Government Finance Officers Association, Chicago, 308.

has been cited by the following article:

• TITLE: A Valuation Model for the Variable Rate Demand Obligation

  AUTHORS: Vince Hooper, John Pointon

  KEYWORDS: Variable Rate Demand Obligation, Municipal Corporation, Public Policy, Stochastic Calculus

  JOURNAL NAME: Journal of Mathematical Finance, Vol.9 No.3, August 21, 2019

  ABSTRACT: In this paper, a valuation framework is developed for the variable rate demand obligation (VRDO). The VRDO is a class of floating rate note whose coupon rate changes on a regular basis and is “puttable” by the bondholder, given a notice of one week to the issuer. We model the coupon rate as a geometric Brownian motion process and assume that the incidence of puts is Poisson distributed, across time. Put events are assumed to be brought about by factors such as a change in the liquidity and consumption preferences of investors or a change in a Municipal issuer’s creditworthiness. This paper is unique because as of July 2019 there exists no attempt at valuing VRDOs in the research literature.