Dispatcher BeginInvoke Syntax

I have been trying to follow some WCF Data Services examples and have the following code:

private void OnSaveCompleted(IAsyncResult result)
    {
        Dispatcher.BeginInvoke(() =>
        {
            context.EndSaveChanges(result);
        });
    }

Which is called by the following:

this.context.BeginSaveChanges(SaveChangesOptions.Batch, this.OnSaveCompleted, null);

Now I am getting a little confused here. Firstly, the first bit of code is showing a syntax error of

Argument type lambda expression is not assignable to parameter type System.Delegate

So instead of blindly trying to follow the example code, I tried to understand what was going on here. Unfortunately, I am struggling to understand the error plus what is actually happening. Can anyone explain?

I feel a bit stupid as I am sure this is easy.