This course is the continuation of the undergraduate course “Theory of Functions of a Real Variable”. It starts with the definitions of abstract measures, measurable spaces, measurable functions, etc., then it covers abstract integral theory and Lp spaces. These materials serve as a basis for other related courses, especially Probability Theory. The last part of the course bring the students back to R^n, covering some basic topics in Harmonic Analysis, such as Fourier Transform and the convergence of Fourier series that are useful for Applied Math and PDE.