Reddit mentions of First Look At Rigorous Probability Theory, A (2Nd Edition)

Rosenthal's First Look at Rigorous Probability Theory a nicer read than the more "classic" texts and better for self-learning. It's pretty cheap too.

https://www.amazon.com/First-Look-Rigorous-Probability-Theory/dp/9812703713

If you can read and understand this book, you probably have the math/stats literacy to pick up any quantitative finance book and understand it.

Other than that, I'm not sure. Maybe look up the curriculum of CMU's quant finance program and follow along. There used to be a couple of financial engineering MOOC curriculums floating around. I'm also partial to this list.

The most important thing is to get your math literacy to a place where you can start reading technical texts and understand the material. If your math background is weak, maybe start doing Spivak or Rudin. I'm partial to Terrence Tao's measure theory stuff.

Rosenthal "A First Look at Rigorous Probability Theory" is a very nice and simple treatment of probability from a measure theoretic perspective. It also has a chapter on Markov Chains.

https://www.amazon.com/First-Look-Rigorous-Probability-Theory/dp/9812703713

Acho uma boa estudar teoria da probabilidade. Mas esse livro do Kolmogorov provavelmente não é a fonte mais amigável e atual pra se estudar hoje em dia. Já ouvi falar bem do First Look at Rigorous Probability Theory talvez seja uma opção melhor.

IF you're intereste in Measure Theory in the setting of Probability this is a book I'm reading now which I find pretty good

https://www.amazon.com/First-Look-Rigorous-Probability-Theory/dp/9812703713

I have trouble getting motivated with books but this one is pretty To-The-Point and concise so it's good for me. Plus there is a solutions manual to the even-numbered excersies online.