A. Brace, D. Gatarek, and M. Musiela, The market model of interest rate dynamics, Mathematical finance, vol.7, issue.2, pp.127-155, 1997.

D. Brigo, M. Morini, and A. Pallavicini, Counterparty credit risk, collateral and funding: with pricing cases for all asset classes, vol.478, 2013.

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

V. Bally, G. Pagès, and J. Printems, A quantization tree method for pricing and hedging multi-dimensional american options, Mathematical Finance, vol.15, issue.1, pp.119-168, 2005.
URL : https://hal.archives-ouvertes.fr/inria-00072123

F. Black and M. Scholes, The pricing of options and corporate liabilities, Journal of political economy, vol.81, issue.3, pp.637-654, 1973.

J. Burkardt, C++ library which evaluates the upper right tail of the bivariate normal distribution, 2012.

J. Cuesta-albertos, A. Gordaliza, and C. Matrán, Trimmed k-means: an attempt to robustify quantizers, The Annals of Statistics, vol.25, issue.2, pp.553-576, 1997.

S. Crépey, R. Tomasz, D. Bielecki, and . Brigo, Counterparty risk and funding: A tale of two puzzles, 2014.

G. Thomas and . Donnelly, Algorithm 462: Bivariate normal distribution, Communications of the ACM, vol.16, issue.10, p.638, 1973.

N. E. Karoui, A. Frachot, and H. Geman, A note on the behavior of long zero coupon rates in a no arbitrage framework, 1996.

N. E. Karoui, R. Myneni, and R. Viswanathan, Arbitrage pricing and hedging of interest rate claims with state variables, theory and applications, 1992.

H. Geman, N. E. Karoui, and J. Rochet, Changes of numeraire, changes of probability measure and option pricing, Journal of Applied probability, pp.443-458, 1995.

A. Gersho, M. Robert, and . Gray, Special issue on quantization, IEEE Transactions on Information Theory, vol.29, 1982.

S. Graf and H. Luschgy, Foundations of Quantization for Probability Distributions, 2000.

S. Graf, H. Luschgy, and G. Pagès, Distortion mismatch in the quantization of probability measures, ESAIM: Probability and Statistics, vol.12, pp.127-153, 2008.
URL : https://hal.archives-ouvertes.fr/hal-00293615

J. Gregory, The xVA Challenge: counterparty credit risk, funding, collateral and capital, 2015.

D. Heath, R. Jarrow, and A. Morton, Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation. Econometrica, Journal of the Econometric Society, pp.77-105, 1992.

J. Hull and A. White, One-factor interest-rate models and the valuation of interest-rate derivative securities, Journal of financial and quantitative analysis, vol.28, issue.2, pp.235-254, 1993.

C. John and . Kieffer, Uniqueness of locally optimal quantizer for log-concave density and convex error weighting function, IEEE Transactions on Information Theory, vol.29, issue.1, pp.42-47, 1983.

V. Lemaire, T. Montes, and G. Pagès, New weak error bounds and expansions for optimal quantization, Journal of Computational and Applied Mathematics, p.112670, 2019.
URL : https://hal.archives-ouvertes.fr/hal-02361644

J. Pedro, V. Nunes, and P. Prazeres, Pricing swaptions under multifactor gaussian hjm models, Mathematical Finance, vol.24, issue.4, pp.762-789, 2014.

B. Donald and . Owen, Tables for computing bivariate normal probabilities. Sandia Corporation, 1958.

G. Pagès, A space quantization method for numerical integration, Journal of computational and applied mathematics, vol.89, issue.1, pp.1-38, 1998.

G. Pagès, Introduction to vector quantization and its applications for numerics, ESAIM: proceedings and surveys, vol.48, pp.29-79, 2015.

G. Pagès, Numerical Probability: An Introduction with Applications to Finance, 2018.

V. Piterbarg, A multi-currency model with fx volatility skew, SSRN Electronic Journal, 2005.

G. Pagès, H. Pham, and J. Printems, Optimal Quantization Methods and Applications to Numerical Problems in Finance, pp.253-297, 2004.

G. Pagès and A. Sagna, Improved error bounds for quantization based numerical schemes for bsde and nonlinear filtering, Stochastic Processes and their Applications, vol.128, pp.847-883, 2018.

S. William-fleetwood, On the calculation of the most probable values of frequency-constants, for data arranged according to equidistant division of a scale, Proceedings of the London Mathematical Society, vol.1, issue.1, pp.353-380, 1897.

E. Steven and . Shreve, Stochastic calculus for finance II: Continuous-time models, 2004.

O. Vasicek, An equilibrium characterization of the term structure, Journal of financial economics, vol.5, issue.2, pp.177-188, 1977.

, Uwe Wystup. FX options and structured products, 2017.