Literature

The course will cover
Chapter 1-5, and a part A-I of Section 1 in Chapter 9,
in
D. Williams: Weighing the Odds ,
Cambridge University Press, 2001.


That book will be available at Cremona in due time; you may 
prefer to purchase your copy from an internet book dealer.


*******************************************************************************

Other literature?

A book at about the same level as "Weighing the Odds", and similar in spirit, is
Grimmett & Stirzaker: Probability and Random Processes, 3rd ed.
Oxford University Press, 2001.

There is a compendium in Swedish, used in  the course "Sannolikhetsteorins grunder"
that preceded our one.  It goes deeeper into the theory of expectation.
Häggström & Lindvall: Sannolikhetsteorins Grunder.

Another book by Williams:
Probability with Martingales , Cambridge University Press.

is used  for the basic graduate studies: it covers all of the measure and integration
theory mentioned in our course.