Tomas Bjork - Arbitrage Theory in Continuous Time

This is rigorous, but introductory, treatment of continous time finance. "Arbitrage Theory in Continous Time" by Tomas Bjork is a great book that should serve a prime textbook in all MFE courses. The book starts with the lucid introduction to asset pricing in discreet time. Than the author develops the intuition behind the stochastic calculus. The pace of the book is just right. After the necessery notation of stochastic calculus is developed the author reviews the most important models of continous time asset pricing up to the LIBOR market model.