  The recently developed rough Bergomi (rBergomi) model is a rough fractional
stochastic volatility (RFSV) model which can generate more realistic term
structure of at-the-money volatility skews compared with other RFSV models.
However, its non-Markovianity brings mathematical and computational challenges
for model calibration and simulation. To overcome these difficulties, we show
that the rBergomi model can be approximated by the Bergomi model, which has the
Markovian property. Our main theoretical result is to establish and describe
the affine structure of the rBergomi model. We demonstrate the efficiency and
accuracy of our method by implementing a Markovian approximation algorithm
based on a hybrid scheme.
