As far as beginning graduate-level books on probability are concerned this is definitely one of the best. This looks like a set of lectures turned into a book.The competition in my mind would beFirst Look at Rigorous Probability Theory(more compact, perhaps a little dense)Probability & Measure Theory, Second Edition(covers more ground and is very clear)A Course in Probability Theory, Revised Edition, Second Edition(very detailed explanations, but you should probably have followed a course on measure theory)Please dont dive into probability at this level, your intuition might not be ready for it.To do that I recommendAn Introduction to Probability Theory and Its Applications, Vol. 1 (Volume 1)(if you have the time)There is alsoBasic Probability Theory (Dover Books on Mathematics)which is an excellent introduction stopping short of measure theory.