To Install Latin Modern Math font in OS X
I've also noticed The Latin Modern fonts are not installed to OS X with the MacTeX2015 distibution. 

The LM fonts (also the math font) are installed in the tex distribution under: 
/usr/local/texlive/2015/texmf-dist/fonts/opentype/public/lm
and /usr/local/texlive/2015/texmf-dist/fonts/opentype/public/lm-math

To use these font's throughout OS X there is no need to reinstall them, you can link these fonts to your Fonts in OS X as follows:

ln -s /usr/local/texlive/2015/texmf-dist/fonts/opentype/public/lm/ '/Library/Fonts/Latin Modern'
ln -s /usr/local/texlive/2015/texmf-dist/fonts/opentype/public/lm-math/ '/Library/Fonts/Latin Modern Math'


Note: This was inspired by the comments on this question.