I have just bought the Etheridge book. Well I must say that this book, as announced in the preface, follows the approach of B&R, but in a very different way. She often proves theorems and lemmas by using some elements of measure theory (Williams book is her best reference with this regard). So I can suggest this book just to people who have some good foundation in calculus and in axiomatic probability theory. BTW this book reveals the great knowledge of the author in the mathematics underlying the financial treatment of the subject, and, therefore, overall, I think it is a very good book.