V. Bally and G. Pagès, A quantization algorithm for solving multidimensional discrete-time optimal stopping problems, Bernoulli, vol.9, issue.6, pp.1003-1049, 2003.
DOI : 10.3150/bj/1072215199

URL : https://hal.archives-ouvertes.fr/hal-00104798

B. Bouchard and N. Touzi, Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations, Stochastic Processes and their Applications, vol.111, issue.2, pp.175-206, 2004.
DOI : 10.1016/j.spa.2004.01.001

URL : https://hal.archives-ouvertes.fr/hal-00103046

P. Briand, B. Delyon, Y. Hu, É. Pardoux, and L. Stoica, L p solutions of backward stochastic differential equations. Stochastic Process, Appl, vol.108, issue.1, pp.109-129, 2003.

P. Briand, B. Delyon, and J. Mémin, On the robustness of backward stochastic differential equations, Stochastic Processes and their Applications, vol.97, issue.2, pp.229-253, 2002.
DOI : 10.1016/S0304-4149(01)00131-4

URL : https://hal.archives-ouvertes.fr/hal-00127200

P. Briand and Y. Hu, Stability of BSDEs with Random Terminal Time and Homogenization of Semilinear Elliptic PDEs, Journal of Functional Analysis, vol.155, issue.2, pp.455-494, 1998.
DOI : 10.1006/jfan.1997.3229

D. Brigo, Q. Liu, A. Pallavicini, and D. Sloth, Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes. ArXiv e-prints, 2014.

D. Brigo and A. Pallavicini, CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins Under Credit, Funding and Wrong-Way Risks: A Unified Valuation Approach, SSRN Electronic Journal, 2014.
DOI : 10.2139/ssrn.2380017

J. C. Butcher, Numerical methods for ordinary differential equations, 2003.

J. Chassagneux, Linear multi-step schemes for BSDEs, pp.1306-5548

J. Chassagneux and D. Crisan, Runge-kutta schemes for backward stochastic differential equations . The Annals of Applied Probability, pp.679-720, 2014.

J. F. Chassagneux and A. Richou, Numerical simulation of quadratic BSDEs, The Annals of Applied Probability, vol.26, issue.1, pp.1307-5741
DOI : 10.1214/14-AAP1090

URL : https://hal.archives-ouvertes.fr/hal-00990555

S. Crépey, BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS-PART I: PRICING, Mathematical Finance, vol.2, issue.2, p.2012
DOI : 10.1111/mafi.12004

S. Crépey, BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS-PART II: CVA, Mathematical Finance, vol.12, issue.4, p.2012
DOI : 10.1111/mafi.12005

D. Crisan and D. Delarue, Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations, Journal of Functional Analysis, vol.263, issue.10, pp.3024-3101, 2012.
DOI : 10.1016/j.jfa.2012.07.015

URL : https://hal.archives-ouvertes.fr/hal-00599543

D. Crisan and K. Manolarakis, Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing, SIAM Journal on Financial Mathematics, vol.3, issue.1, pp.534-571, 2012.
DOI : 10.1137/090765766

D. Crisan and K. Manolarakis, Second order discretization of backward SDEs and simulation with the cubature method, The Annals of Applied Probability, vol.24, issue.2, pp.652-678, 2014.
DOI : 10.1214/13-AAP932

N. Karoui, S. Peng, and M. C. Quenez, Backward Stochastic Differential Equations in Finance, Mathematical Finance, vol.7, issue.1, pp.1-71, 1997.
DOI : 10.1111/1467-9965.00022

E. Gobet and C. Labart, Error expansion for the discretization of backward stochastic differential equations. Stochastic Process, Appl, vol.117, issue.7, pp.803-829, 2007.
URL : https://hal.archives-ouvertes.fr/hal-00019463

M. Kobylanski, differential equations with quadratic growth, The Annals of Probability, vol.28, issue.2, pp.558-602, 2000.
DOI : 10.1214/aop/1019160253

J. Lepeltier and J. San-martín, Existence for BSDE with superlinear-quadratic coefficient, Stochastics An International Journal of Probability and Stochastic Processes, vol.63, issue.3, pp.227-240, 1998.
DOI : 10.1080/17442509808834149

A. Lionnet, G. Reis, and L. Szpruch, Time discretization of FBSDE with polynomial growth drivers and reaction???diffusion PDEs, The Annals of Applied Probability, vol.25, issue.5
DOI : 10.1214/14-AAP1056

J. Ma and J. Yong, Forward-Backward Stochastic Differential Equations and Their Applications. Number no. 1702 in Forward-backward Stochastic Differential Equations and Their Applications, 1999.
DOI : 10.1007/978-3-540-48831-6

É. Pardoux, BSDEs, weak convergence and homogenization of semilinear PDEs In Nonlinear analysis , differential equations and control, NATO Sci. Ser. C Math. Phys. Sci, vol.528, pp.503-549, 1998.

É. Pardoux and S. Peng, Backward stochastic differential equations and quasilinear parabolic partial differential equations, Stochastic partial differential equations and their applications, pp.200-217, 1991.
DOI : 10.1007/BFb0007334

É. Pardoux and S. G. Peng, Adapted solution of a backward stochastic differential equation, Systems & Control Letters, vol.14, issue.1, pp.55-61, 1990.
DOI : 10.1016/0167-6911(90)90082-6

A. Richou, Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition. Stochastic Process, Appl, vol.122, issue.9, pp.3173-3208, 2012.
URL : https://hal.archives-ouvertes.fr/hal-00643198

M. Royer, BSDE s with a random terminal time driven by a monotone generator and their links with PDE s, Stochastics and Stochastics Reports, vol.76, issue.4, pp.281-307, 2004.
DOI : 10.1080/10451120410001696270

J. Zhang, A numerical scheme for BSDEs, The Annals of Applied Probability, vol.14, issue.1, pp.459-488, 2004.
DOI : 10.1214/aoap/1075828058

. Queen-'s-gate, S. London, U. 2az, and . Kingdom, E-mail address: j.chassagneux@imperial.ac.uk (Adrien Richou) Univ