Before revision:  Algorithms for the exact simulation of such a process are accordingly derived with the advantage of being significantly faster (at least 30 times) than those available in the literature. They are also extended to more general cases (bilateral exponential jumps, and time-dependent intensity of the Poisson process). These results are finally applied to the pricing of  gas storages and swings under  jump-diffusion market models, and the apparent computational advantages of the proposed procedures are emphasized 
After revision:  Algorithms for the exact simulation of the sum of an Ornstein-Uhlenbeck and an independent pure jump process, where the latter one is driven by a compound Poisson process with (bilateral) exponentially distributed jumps. These methodologies are finally applied to the pricing of gas storages and swings under jump-diffusion market models, and the apparent computational advantages of the proposed procedures are emphasized