Guerreiro, HenriqueGuerra, João2024-02-222024-02-222024-02Guerreiro, Henrique e João Guerra (2024). "Pseudo rough vol-of-vol through Markovian approximation". REM Working paper series, nº 0310/20242184-108Xhttp://hdl.handle.net/10400.5/30181We discuss a possible framework for a (pseudo) rough vol-of-vol model through a multi-factor Markovian approximation of the vol-of-vol process. We identify a key martingale condition which may allow to express the VIX in terms of the solution of a certain Riccati ordinary differential equation. We derive this equation and provide sufficient conditions for the existence of solutions. We also provide some partial results regarding the martingale condition. In particular, we verify a local martingale condition.engVIXrough volatilityMarkovian approximationexponentially affine processworking paper