Converting multiple image files from JPEG to PDF format

In bash:

for f in *.jpg; do
  convert ./"$f" ./"${f%.jpg}.pdf"
done

You can use the mogrify command for this. Normally, it modifies files in-place, but when converting formats, it writes a new file (just changing the extension to match the new format). Thus:

mogrify -format pdf -- *.jpg

(Like enzotib's ./*.jpg, the -- prevents any strange filenames from being interpreted as switches. Most commands recognize -- to mean "stop looking for options at this point".)

faster but unusual syntax:

parallel convert '{} {.}.pdf' ::: *.jpg

Runs in parallel (using https://www.gnu.org/software/parallel/). I haven't noticed any multi-threading in convert yet, which would limit the effective parallelization. If that is your concern, see in the comment below for a method to ensure no multi-threading occurs.