Go first with Bartle to develop the mathematical foundation, which is measure theory, then continue with Capinski & Kopp. Afterward, for second reading and reference, you can read Patrick Billingsley's "Probability and Measure". If you want to take a shortcut or don't have enough time, just go straight with Capinski & Kopp. It has an accessible intro to measure theory. Well, it helped me get through an interview to Oxford's "Mathematical and Computational Finance" programme. But then again, I've read Bartle.