The Econometric Analysis of Transition Data Book

This is a well-written, self-contained introduction to asset pricing via equivalent martingale measures. Readers new to the subject will appreciate the introductory chapters that provide suitable coverage of rigorous probability theory, Lesbesgue integration, and measure theory. The value of this particular book seems to be comprehensiveness -- it provides much more material than a book like Baxter and Rennie's "Financial Calculus", however it does not motivate the use of equivalent martingale machinery as well as these authors. Thus, I'd use this book as a base to your studies of asset pricing, but go elsewhere if you're having trouble with the intuition behind the mathematics.