Fabrice Deschâtres

CEO at Volptima

Speaker

Fabrice Deschâtres developed Convex Volatility Interpolation (CVI), a non-parametric, arbitrage-free method for fitting implied volatility surfaces, published in Risk.net’s Cutting Edge section in February 2026. CVI has since been implemented by quant teams at several global banks. He founded Volptima to bring CVI into production, and the company now offers it as a library and cloud service for banks, hedge funds and market makers. Fabrice is a specialist in volatility surface construction and calibration, with over 20 years of experience in quantitative finance. Before founding Volptima, he held quantitative trading and research roles at Goldman Sachs, Millennium and Flow Traders. He is a graduate of the École normale supérieure (ENS Ulm) in Paris.