Main:
Björk, T., Arbitrage Theory in Continuous Time, Oxford University Press 2004.
Lecture notes available on http://www.econ-pol.unisi.it/fm10.
Others:
Shreve, S.E., Stochastic calculus for finance I - the binomial asset pricing model, Springer 2004.
Shreve, S.E., Stochastic calculus for finance II - Continuous-time models, Springer 2004.