Dr Andrew Sanford - Researcher Profile

Biography

Andrew Sanford joined the Department of Accounting and Finance in February 2005. Prior to this he worked for over 12 years as a Systems Analyst mainly in the Banking and Finance industry. After leaving industry, Andrew completed his PhD in the School of Business Systems where his research involved applying Bayesian analysis to continuous-time stochastic models of interest rate dynamics. Andrew's current research is application oriented, focusing on various analytical and simulation tools for financial decision making under risk and uncertainty. He is a member of the Institute of Operations Research and the Management Sciences (INFORMS), the Society of Operational Research (UK), the Australian Computer Society (ACS) and the International Society for Bayesian Analysis (ISBA). In 2010, Andrew completed an industry linked project with one of Australia's major commercial banks, looking at the application of Bayesian networks to the modelling and quantification of operational risks.

Research & Supervision Interests

Application of the following techniques to applied modeling and decision making in finance, economics and business: Bayesian and Decision-Theoretic Analysis; Approximate Dynamic Programming; Optimal Learning; Stochastic Programming; Decision Trees, Bayesian Networks and Decision Graphs; Bayesian Forecasting and Dynamic models; Financial and Risk models; Monte Carlo Simulation; Portfolio and Hedge Optimization.

Qualifications

GRADUATE CERTIFICATE OF HIGHER EDUCATION

Institution: Monash University

Year awarded: 2012

PHD

Institution: Monash University

Year awarded: 2005

MBA

Institution: Monash University

Year awarded: 1996

GRADDIPAPPLSCI(COMPUTING)

Institution: Monash University

Year awarded: 1992

B EC

Institution: Monash University

Year awarded: 1989

Publications

Book Chapters

Sanford, A.D., Lajbcygier, P.R., Spratt, C.F., 2009, Identifying latent classes and differential item functioning in a cohort of e-learning students, in E-Learning Technologies and Evidence -Based Assessment Approaches, eds Christine Spratt and Paul Lajbcygier, Information Science Publishing, Hershey PA USA, pp. 195-217.

Journal Articles

Sanford, A.D., Moosa, I.A., 2012, A Bayesian network structure for operational risk modelling in structured finance operations, Journal of the Operational Research Society [P], vol 63, issue 4, Palgrave Macmillan Ltd, Basingstoke UK, pp. 431-444.

Sanford, A.D., Lajbcygier, P.R., 2009, Examination items in financial mathematics: A Bayesian analysis of Differential Item Functioning (DIF) using Item-Response Theory (IRT), Advances in Financial Education [P], vol 7, issue 1 & 2, Finance Education Association, Philadelphia USA, pp. 158-182.

Lajbcygier, P.R., Sanford, A.D., 2008, Predicting exam failure in computational finance, Advances in Financial Education, vol 6, issue Winter, Finance Education Association, United States, pp. 59-78.

Sanford, A.D., Martin, G.M., 2006, Bayesian comparison of several continuous time models of the Australian short rate, Accounting and Finance, vol 46, issue 2, Blackwell Publishing Asia, Australia, pp. 309-326.

Sanford, A.D., Martin, G.M., 2005, Simulation-based Bayesian estimation of an affine term structure model, Computational Statistics and Data Analysis, vol 49, issue 2, Elsevier, The Netherlands, pp. 527-554.

Teaching Commitment

AFC2340 - Debt Markets and Fixed Income Securities

AFF9150 - Options, Futures and Risk Management

AFC2140 - Corporate Finance

AFC1000 - Principles of Accounting and Finance

Activities

Education

From: 03/12/0012 To: 31/03/0013
Faculty of Business and Economics, Monash University
Member of the Banking and Finance Curriculum Design Working Group

Professional organisation memberships

ACS -
Australian Computer Society

INFORMS -
Institute of Operations Research and the Management Sciences

ISBA -
International Society for Bayesian Analysis

ORS -
Operational Research Society (UK)

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

A nonlinear asset pricing model for hedge funds.

Supervisors:

Lajbcygier, P (Main), Sanford, A (Associate).

Completed Supervision

Student:

Choo, T.

Program of Study:

Analysing the misclassification of us mutual funds through soft clustering. (PHD) 2012.

Supervisors:

Lajbcygier, P (Main), Sanford, A (Associate).