Some additional references

For those new to measure theory and convex analysis, yesterday's lecture on convex risk measures may have been a bit much. A good additional reference on measure- and integration theory is Shilling: "Measures, Integrals and Martingales" (you can find it online by google'ing). A good reference on convexity theory is Rockafellar: "Convex Analysis". Both of these books are excellent, but extensive. Only what is in the notes is curriculum for the exam.