Business and Personal Finance Dictionary

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• VOLATILITY CONVEXITY
  
  Definition: The sensitivity of vega = dvalue/dvol (a.k.a. kappa) as a function of volatility to a change in volatility, also known as "dvega/dvol", where dvega/dvol = d2value/dvol2. Volatility convexity is to vega (kappa) as gamma is to delta and convexity is to duration. Also known as "vomma" (q.v.). Application: The volatility convexity shows the deviation from a vega (kappa) neutral hedge when the volatility moves, just as the gamma or convexity shows the deviation from a delta or duration neutral hedge when the underlying price or yield moves.
  
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