  Fractional processes have gained popularity in financial modeling due to the
dependence structure of their increments and the roughness of their sample
paths. The non-Markovianity of these processes gives, however, rise to
conceptual and practical difficulties in computation and calibration. To
address these issues, we show that a certain class of fractional processes can
be represented as linear functionals of an infinite dimensional affine process.
This can be derived from integral representations similar to those of Carmona,
Coutin, Montseny, and Muravlev. We demonstrate by means of several examples
that this allows one to construct tractable financial models with fractional
features.
