We believe that mathematics is best learned by examining in depth the major ideas in as familiar a setting as possible, and then seeing how they can be generalized. Chapter I takes up the very concrete and historic case of convex functions defined on an interval of the real line. This material appears as a logical extension of what the student has learned in his calculus course, has immediate applications, motivates most of the generalizations to come later, raises most of the important questions that will be studied in the rest of the book.