  We prove the Ito-Tanaka formula and the existence of pathwise stochastic
integrals for a wide class of Gaussian processes. Motivated by financial
applications, we define the stochastic integrals as forward-type pathwise
integrals introduced by F\"ollmer and as pathwise generalized
Lebesgue-Stieltjes integrals introduced by Z\"ahle. As an application, we
illustrate the importance of Ito-Tanaka formula for pricing and hedging of
financial derivatives.
