you probably need to install the jpg and jasper delegates (and any others), if you build IM from source. if you are using the binary, then it should be working.
To check if IM can see your delegates, use
convert -list configure and look at the line for DELEGATES
For example on my system, I have:
DELEGATES bzlib fontconfig freetype gs jpeg jp2 lcms lqr openexr png tiff x11 xml zlib
note: jpeg and jp2
If you do not see these, then download the appropriate delegates and install them.
http://www.imagemagick.org/download/delegates/