I'm currently reading Cont & Tankov's "Financial Modelling With Jump Processes" and in proposition 8.14 they present Ito formula for jump-diffusion processes. There is no proof provided there. I am wondering if anyone could point me to the literature providing the proof. Additionally, if anyone knows a book providing a proof for regular Ito formula that would be good.
Many thanks
Please refer the book: D. Applebaum, Lévy Processes and Stochastic Calculus, 2nd Ed, Cambridge University Press, 2005. Th.4.4.7, p.251.