In this seminar, I will present the first steps of a comprehensive approach to modeling relativistic jets in active galactic nuclei (AGN), combining cutting-edge simulations with multi-wavelength (MWL) observational data. The focus will be mainly on the so-called « shock-shock » scenario, where interactions between moving and stationary shocks in AGN jets can elucidate much of the observational markers. I will also discuss the presence of protons in AGN jets, and their implications for MWL signatures and neutrino emission. Finally, I will present some prospective of the « shock-shock » scenario, in the light of future experiments.