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Convexity
In the case of a fixed rate instrument, a measure of the way the duration of the instrument changes in response to fluctuations in interest rates, which corresponds to the mathematical second derivative of the price of the instrument with respect to its yield; in an option position, a measure of the way the value of the position changes in response to changes in certain factors such as the volatility or price of the underlying instrument.
Convexity expresses the relative speed of the change in the price of a fixed-rate instrument if interest rates fluctuate or, in the case of an option position, the relative speed of the change in the market value of the option in response to changes in volatility or price of the underlying.