Urban areas are a high-stake target of climate change mitigation and adaptation measures. To understand, predict, and improve the energy performance of cities, the scientific community develops numerical models that describe how they interact with the atmosphere through heat and moisture exchanges at all scales. In this review, we present recent advances that are at the origin of last decade's revolution in computer graphics, and recent breakthroughs in statistical physics that extend well-established path-integral formulations to nonlinear coupled models. We argue that this rare conjunction of scientific advances in mathematics, physics, computer, and engineering sciences opens promising avenues for urban climate modeling and illustrate this with coupled heat transfer simulations in complex urban geometries under complex atmospheric conditions. We highlight the potential of these approaches beyond urban climate modeling for the necessary appropriation of the issues at the heart of the energy transition by societies.