Stochastic Gradient Descent (SGD) is a fundamental algorithm in machine learning, representing the optimization backbone for training several classic models, from regression to neural networks. Given the recent practical focus on distributed machine learning, significant work has been dedicated to the convergence properties of this algorithm under the inconsistent and noisy updates arising from execution in a distributed environment. However, surprisingly, the convergence properties of this classic algorithm in the standard shared-memory model are still not well-understood. In this work, we address this gap, and provide new convergence bounds for lock-free concurrent stochastic gradient descent, executing in the classic asynchronous shared memory model, against a strong adaptive adversary. Our results give improved upper and lower bounds on the "price of asynchrony" when executing the fundamental SGD algorithm in a concurrent setting. They show that this classic optimization tool can converge faster and with a wider range of parameters than previously known under asynchronous iterations. At the same time, we exhibit a fundamental trade-off between the maximum delay in the system and the rate at which SGD can converge, which governs the set of parameters under which this algorithm can still work efficiently.