  We present an algorithm to solve BSDEs with jumps based on Wiener Chaos
Expansion and Picard's iterations. This paper extends the results given in
Briand-Labart (2014) to the case of BSDEs with jumps. We get a forward scheme
where the conditional expectations are easily computed thanks to chaos
decomposition formulas. Concerning the error, we derive explicit bounds with
respect to the number of chaos, the discretization time step and the number of
Monte Carlo simulations. We also present numerical experiments. We obtain very
encouraging results in terms of speed and accuracy.
