How can I export a figure with non-Latin (eg Greek) characters?

I want to create a plot with MATLAB 2012b and label one axis with the Greek letter 'omega'. I use the following code:

xlabel('\omega, cm^{-1}', 'Interpreter', 'TeX')

The Greek character and the superscript text display correctly on screen.

I then want to actually use the figure, so I export it as EPS (the only publication-quality vector graphics format I know). Unfortunately the Greek letter is gone and replaced by a latin 'w'.

Am I doing something wrong? If this is a bug, is there a workaround?