This is a textbook which will provide students with a straightforward introduction to the mathematical theory of probability. It is written with the aim of presenting the central results and techniques of the subject in a complete and self-contained account. As a result, the emphasis is on giving results in simple forms with clear proofs and to eschew more powerful forms of theorems which require technically involved proofs. Any graduate student who has a familiarity with real analysis will be able to use this text - measure theory is used only where necessary and undue abstraction is avoided. Throughout there are a wide variety of exercises to illustrate and to develop ideas in the text.