NORCAP Investment Management LP

Academic Consultant

R. Brian Balyeat
Brian is currently a Finance Professor at Xavier University. He has a BA in Mathematics and Economics from Rhodes College and an MBA and PHD from Duke University. His dissertation at Duke was "Analyzing the Dynamics of US Assets Markets Utilizing the Semi Non-Parametric Technique for Estimating Conditional Density ". The crux of the dissertation was in the Journal of Futures Markets under the title "Economic Significance of Risk Premiums in the S&P 500 Option Market." The paper compared the option prices dictated by the market to the theoretical prices based upon full dynamics of the index. Dr. Balyeat and Mr. Norcom are responsible for the construction of the proprietary option pricing model and compilation of the unique historical database of index options.

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