Thanks to many people who have mentioned it to me and others on this site before. I was just able to peek into Kallenberg' Foundation of Modern Probability. It is more comprehensive, deep and thorough than the books I have seen before. It not only covers probability theory, but also stochastic processes and calculus, random measures, point processes and other topics. I don't expect myself to understand it fully and easily at all, but I admit it is the best reference I have seen.
I was wondering if you could mention other books at similar (partially) topics and/or levels as Kallenberg' book?
Thanks and regards!