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In most textbooks Ito's lemma is derived (on different levels of technicality depending on the intended audience) and then only the classic examples of Geometric Brownian motion and the Black-Scholes equation are given.

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I am looking for references where lots of worked examples of applying Ito's lemma are given in an easy to follow, step by step fashion. Also more advanced cases should be covered.

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up vote 7 down vote accepted

These are all examples on Ito Formula in its general form (with quadratic variations):

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+1: Thank you, could you please also give a source –  vonjd Jul 21 at 8:50
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@vonjd Its lecture notes from a course on Mathematical Finance –  emcor Jul 21 at 9:02

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