Filipovic, DamirWillems, Sander2018-12-132018-12-132018-12-132018-01-0110.1137/16M1080276https://infoscience.epfl.ch/handle/20.500.14299/151973WOS:000445804500002We present a nonparametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic linear algebra operations. We provide a full theoretical framework as well as several practical applications.Business, FinanceMathematics, Interdisciplinary ApplicationsSocial Sciences, Mathematical MethodsBusiness & EconomicsMathematicsMathematical Methods In Social Sciencesbootstrapdiscount curveforward curvesplinesterm-structure estimationinterest-ratesmaximum smoothnessyield curvesplinesmodelstext::journal::journal article::research article