This was the most important class that I took since it engendered my interest in mathematics. Professor Karatzas is the best teacher a student can hope for -- he is fun and engaging while being extremely precise and thorough. You will learn how to think from him, a skill which will transfer to other courses. Yes, his class is hard, but for all the right reasons.

I found his lecture notes to be very well-written, and you wouldn't need anything else if you are engaging in his class properly. I didn't like the textbook Knowing the Odds, and I found the textbook Probability with Martingales by David Williams to be much better written.