  In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC)
simulation technique for Levy processes from Kuznetsov et al. [17] to path
functionals, in particular first passage times, overshoots, undershoots and the
last maximum before the passage time. Such functionals have many applications,
for instance in finance (the pricing of exotic options in a Levy model) and
insurance (ruin time, debt at ruin and related quantities for a Levy insurance
risk process). The technique works for any Levy process whose running infimum
and supremum evaluated at an independent exponential time allows sampling from.
This includes classic examples such as stable processes, subclasses of
spectrally one sided Levy processes and large new families such as meromorphic
Levy processes. Finally we present some examples. A particular aspect that is
illustrated is that the WHMC simulation technique performs much better at
approximating first passage times than a `plain' Monte Carlo simulation
technique based on sampling increments of the Levy process.
