Probability Theory in Finance introduces students of the mathematics of finance to the Black-Scholes formula, the model pervasive in financial markets. The book skillfully draws the reader toward the art of thinking mathematically and then proceeds to lay the foundations in analysis and probability theory underlying modern financial mathematics. The book rigorously reveals the mathematical secrets of topics such as abstract measure theory, conditional expectations, martingales, Wiener processes, the Itô calculus and other ingredients of the Black-Scholes formula. In explaining these topics, the author uses examples drawn from the universe of finance. The book also contains many exercises, some included to clarify simple points of exposition, others to introduce new ideas and techniques and a few containing relatively deep mathematical results.