Replica exchange molecular dynamics (REMD) is a popular method to accelerate conformational sampling of complex molecular systems. The idea is to run several replicas of the system in parallel at different temperatures that are swapped periodically. These swaps are typically attempted every few MD steps and accepted or rejected according to a Metropolis-Hastings criterion. This guarantees that the joint distribution of the composite system of replicas is the normalized sum of the symmetrized product of the canonical distributions of these replicas at the different temperatures. Here we propose a different implementation of REMD in which (i) the swaps obey a continuous-time Markov jump process implemented via Gillespie's stochastic simulation algorithm (SSA), which also samples exactly the aforementioned joint distribution and has the advantage of being rejection free, and (ii) this REMD-SSA is combined with the heterogeneous multiscale method to accelerate the rate of the swaps and reach the so-called infinite-swap limit that is known to optimize sampling efficiency. The method is easy to implement and can be trivially parallelized. Here we illustrate its accuracy and efficiency on the examples of alanine dipeptide in vacuum and C-terminal β-hairpin of protein G in explicit solvent. In this latter example, our results indicate that the landscape of the protein is a triple funnel with two folded structures and one misfolded structure that are stabilized by H-bonds.