Undergrad overwhelmed by a graduate math class
Mathematician here: We've all been in a similar situation when transitioning from undergrad to grad classes. You write that you are "embarrassed" due to your lack of understanding; don't worry, others probably are having issues also. But if you do think you aren't getting basics, then it is more, not less important that you talk to your fellow students and the professor. 

However, the main thing you should realize is that this is a pretty regular experience. What matters is how you react to it; don't get demoralized but put the effort in. And don't hesitate to ask questions, even in class; your fellow students are likely confused about some of the same things you are.