The Rough Path-Dependent Volatility Model

This article introduces the rough path-dependent volatility (RPDV) model, a model structurally adapted to jointly capture two major empirical features of volatility: its rough behavior and its path-dependence.After presenting it in its general form and its link with other existing models in the literature, we expose a Markovian multi-factor approximation of the RPDV model based on Abi Jaber's works (2019).Then, our analysis focuses on some specifications of the RPDV model interpretable from an economic point of view, leading to the formulation of different hypotheses about both asset price and volatility formation mechanisms