We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions...

We introduce a multiplicative bias reducing estimator (MBRE) for nonparametric regression. We show that our estimator has optimal pointwise convergence rate n4/9, when positive kernels are used. A simulation study comparing our procedure with the higher order kernel method is included.