these days, with functional programing getting popular, and lots lots new languages, the lambda name is falling out of fashion, and i think that's a good thing.
in Mathematica, the lambda is called Pure Function, and is written simply as
Function[…], no lambda is ever mentioned in the one thousand plus page of Wolfram Language documentation. (it's called Pure Function to differentiate from functions defined using pattern matching) Mathematica has been that way since version 1 in 1988.
the most important thing about lambda, isn't any advanced use, such as “closure”, or things one hear from the Haskell world. It's simply that the function is a expression, namely it returns a value that represents the function. (and therefore, it can be assigned to a variable, or passed as a parameter to other function, or returned as a value from a function) (here, in lisp world it's sometimes known as “Function as First Class Citizens”. (again, a term that harms education and propagation of functional languages))