Place the peppers skin-side up on a baking sheet under a high grill and cook for 7–8 minutes until the skins are blackened. Remove the peppers and place them in a plastic bag. Fold over the top to seal and leave to cool for 20 minutes, then remove the skins.
Lay the skinned pepper quarters on a board and layer up the feta, basil leaves, olives and pine nuts on each one.
Carefully roll up the peppers and secure with a cocktail stick. Place two pepper rolls on each serving plate.
Whisk together the pesto and French dressing in a small bowl and drizzle over the pepper rolls. Serve with rocket and some crusty bread to mop up the juices.