Olivier Sarfati
Head of Equities, GenTrust
Exploring the Relationship Between Equity Option Implied Volatility and Credit Spreads
Tuesday, March 26, 2019
4:30 pm

Olivier Sarfati is Head of Equities at GenTrust, and is responsible for leading the firm’s overall equity positioning as well as selectively developing options and specialized trading strategies for clients.

 

Olivier started his career on Wall Street in 2000 in Equity Derivatives at Citi where he pioneered new strategies in dispersion trading and helped change the VIX methodology. In 2004, Olivier implemented a capital structure model to price single name option skew as a function of credit spreads. From 2005 until 2009, Olivier ran credit options market making and capital structure proprietary trading at Barclays Capital, which provided him with a front-row seat to the Great Financial Crisis. From 2009 until 2017, back at Citi, Olivier helped manage the risk overlay book and run the volatility and quant strategy teams.

 

Olivier holds a Master of Science in Applied Mathematics & Computer Science from ENSIMAG in France and a Master of Science in Finance from the Illinois Institute of Technology. He has published articles on topics such as back-testing and risk management. He also serves as a consultant to a tech start-up that has developed NLP (Natural Language Processing) models to draw actionable insights from any source of text, such as transcripts, research, news, etc.

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