One of three types of adjustments that should be made to the forward value of the underlying variable in a derivative (namely, convexity adjustment, timing adjustment and quanto adjustment). The convexity adjustment is necessary to convert a futures interest rate to a forward interest rate. When valuing a derivative that provides a payoff at a certain future time, the underlying variables don’t equal their forward value because of “convexity”.

In a different context, it refers to the adjustment to a forward rate necessary when using Black-Scholes model.