  We derive a generalised It\=o formula for stochastic processes which are
constructed by a convolution of a deterministic kernel with a centred L\'evy
process. This formula has a unifying character in the sense that it contains
the classical It\=o formula for L\'evy processes as well as recent
change-of-variable formulas for Gaussian processes such as fractional Brownian
motion as special cases. Our result also covers fractional L\'evy processes
(with Mandelbrot-Van Ness kernel) and a wide class of related processes for
which such a generalised It\=o formula has not yet been available in the
literature.
