Generally speaking, we don't find all good excercises in one book. Each book has a mixed collection of good and not-so-good problems. You have to refer to multiple books and make a compilation of good problems and excercises.
I see excercises occuring in two varieties. One are simple and their only purpose is to make you comfortable in manipulating the formulae developed in the book. Problems in the other category are aimed at developing the ideas in the book further. An idea relegated to excercises in book may get a full-length treatment in another book. That is why one has to refer to multiple books. I guess what you have on mind is a Schum's problem book on Stochastic Calculus, right?
