The 24-year-old joined the Black Cats in the summer following a frustrating spell at Chelsea, starting all seven Premier League games for his new side so far this season.
Having established himself as first-choice left-back, Van Aanholt is keen to continue refining his all-round game.
"I have played seven games now and think I have improved," the Northern Echo quotes the Dutchman as saying. "I think I am improving every day. I'm very happy now to have played a few games and to have done pretty well. But I am ready to move on.
"I have been working individually on what I am trying to do. Every training session I am working hard on trying to improve. [Mauricio Tarrico] has been working hard with me. It's nice to have someone who wants me to learn and tries to teach me."
Sunderland are currently 13th in the league table ahead of their trip to face Southampton this weekend.