Matching braces in LaTeX math mode

[Kalyan K. Mukherjea]

Hi,
        This is probably a FAQ although I con't remember seeing this in
the last year or so I've been a  subscriber.

        I use Emacs (20.7) to edit LaTeX files using AucTeX on a Linux (RH
6.2 system). One of the delights is of course the parentheses, braces
matching feature.
        Unfortunately in math mode when one wants to have  braces in the
output one has to type $\{bla, bla\}$ and whenever the cursor comes to the
left brace  it complains that this is  not matched by a right brace. (I
suppose the backslash character is taken as an `escape character'  or
something. Is there any small piece of lisp code I can put in the .emacs
file so that Emacs recognizes \{ as a delimiter whose mate is \}?
Thanks in advance.
Kalyan