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i do IT work, and the "it" thing these days is to throw the occasional probability question out there. The last time i stumbled on this, i'd just sat the GMAT and had probability somewhat down... still, it is the one region in maths that has always left me the most confounded.

I have not stumbled across any killer probability books either - but i am sure they exist! Or lecture notes/something online?

Any suggestions/ideas?

UPDATE: i did hons maths pricing black-scholes etc back in uni (10 years ago), so i'm not shabby (but also def not brilliant) at maths. So that's me. As for the questions in particular, you know, a good book that started at the beginning (simple coin toss stuff) and then rocketed off to at least P implies A, with a thorough set of questions and answers would be good. Does that help?

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What kind of (mathematical) background do you have? What level of probability are you talking about? –  Qiaochu Yuan Jun 7 '12 at 22:02
    
You can look at the right of the page, in the section Related; you will several questions related to yours. But as @QiaochuYuan said, it depends on what kind of probability you want to learn, i.e. elementary, calculus-based probability, or measure-theoretic probability. –  M Turgeon Jun 7 '12 at 22:15
    
If your goal is to do well on job interviews (as your first line suggests), there are a few book of interview questions you can buy, and most of them have some probability in them. You may also want to take a look at similar books of interview questions for quantitative finance jobs. –  Potato Jun 7 '12 at 23:51

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The best textbook I know on probability is the wonderful classic from which I learned the subject: Introduction To Probability Theory by Hoel, Port and Stone. It is concise,rigorous covers an enormous amount of ground in basic probability, has outstanding exercises and requires only a good grounding in multivariable calculus and some linear algebra. Make sure you get the original 1971 hardcover-it's a bit pricy but completely worth it.It comes with the down side that there's no solutions manual,but I might be able to help you with that if you email me.

I also found the book by DeGroot and Schervish's very readable and complete, particularly for mathematical statistics. It also comes with a fairly complete solutions manual. Those are my recommendations-but be leery. More then half the introductory probability textbooks today aren't worth the paper they're printed on and most of them are ridiculously expensive.Both of these are very good and should be helpful to you!

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Can you elaborate why "[m]ore then half the introductory probability textbooks today aren't worth the paper they're printed on"? –  Michael Greinecker Jun 7 '12 at 22:35
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@Michael Uh-most of them are either too shallow to cover important techniques like the Gamma function distribution or worse,they're plug and chug books designed for non-math or engineering majors that avoid theory completely. And many of these in either category are very murky and unclear. That's my opinion and I'm sticking to it. There ARE exceptions,of course-I gave my favorites in my answer.Grinstead and Snell's text-still available online free for download-is quite good,very well organized and readable,but it skips a lot of important material. –  Mathemagician1234 Jun 8 '12 at 3:05

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