# Simulate double exponential process with correlated jumps?

So, I'm trying to simulate a correlated double exponential jump process for two assets, and I understand the pure exponential jump process ($\eta_1$ and $\eta_2$, the probability of an upward jump occurring, the size of the jump, etc, etc), but it's trying to correlate the two jump occurrences that's confusing me.

For example, correlating normally distributed jumps processes is tractable, where $n_{t}^{i}$ are distinct Poisson processes, and $K_i$ is relatively easily computed,

However, for the double exponential, the best resource I've found is here on pg. 40, but its explanation is quite frankly inscrutable. Could anyone explain to an advanced beginner how this could be simulated? Even pointing toward some successful simulation code would go a long way.

Thank you to all in advance.

• Not clear what you want to correlate, is it the Poisson random variables, or the intensities of the jumps? If it's the first, please refer to: math.stackexchange.com/a/244999 – byouness Jun 6 '18 at 1:22