On the probability side, I thought Ash's "Probability & Measure Theory" was good for self-study, although some experience with real analysis is definitely a prerequisite. It can be pretty dense at times, but well worth going through.
stochastic calculus really hurt me. i did well for it, I TA'd for it, i look at it from time to time in my work, but I still find it very difficult. i don't think i'm much good at mathematics, i just try very hard and hope for the best.
Here's a free one I found in the event anyone else is curious: