Nassim Taleb mentioned Probability theory and applications by S. R. S. Varadhan 2 times

Sub-imbecile, Denbo, Varadhan dealt with thin-tails. Read Silent Risk, imbecile. And Russell didn't even deal with probabilistic payoffs. As to Mandelbrot, I gave him his dues. Sub-imbecile.

— Nassim Taleb

I know which books I value when I end up buying a second copy after losing the first one. This book gives a complete overview of the basis of probability theory with some grounding in measure theory, and presents the main proofs. It is remarkable because of its concision and completeness: visibly prof Varadhan lectured from these notes and kept improving on them until we got this gem. There is not a single sentence too many, yet nothing is missing. [...]

— Nassim Taleb

2013-04-28 on amazon.com