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

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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?

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