Probability
Probability with Martingales by David Williams
Probability: Theory and Examples by Rick Durett (warning: deliberately concise)
Theoretical Statistics
Section 1-4 (especially 3) of Casella and Berger
All of Statistics by Wasserman is a nice and quick overview of a lot of topics at the undergrad level
Optimization
Intro to Linear Optimization by Bertsimas & Tsitsiklit
Convex optimization by Vandenberghe & Boyd (free online)