A cute article written by an Oxford Ph.D. in Mathematics. (Note to US readers - Maths is the English way of saying "Math".) The article explains nicely how cross-asset-correlation, and the faulty assumption of independence of bad events could be seen as an explanation for Lehman's demise.
The online magazine "Plus - living mathematics" has a few other nice articles related to finance...
What does a financial engineer do?
How to price derivatives
and is Maths to blame?