It is also possible to use epslatexstandalone terminal, which outputs
minimal tex file and eps figure. Tex file can be compiled directly by
latex and replaces all texts and labels in figure using native tex
fonts, so you should be also able to use tex notation. Resulting dvi
can be converted to pdf (or one can add \usepackage{epstopdf} to tex
file and use pdflatex directly). An artifical example:
plot(rand(50,1))
xlabel('Time')
ylabel('$\varphi$')
print myfig.tex -depslatexstandalone
system('latex myfig.tex');
system('dvipdfm myfig.dvi');
Result should be file myfig.pdf - this works quite well on my system
(Miktex 2.7).
Regards
Ivan Sutoris