After toying with grep styles to format parts on index entries, I decided that it was unsatisfactory. I had delimited italic with double quotes and Greek (which had to be set in a different font because my main font didn't support Greek) with curly brackets. Unfortunately, the text variable used to put the head words into the index running head displayed the delimiters and there was no way to remove them.
Fortunately, InDesign allows one to save searches so I simply saved 4 search-and replace operations which need re-running every time that the index is revised: one each to search and style Greek and italic and one each to delete the double quotes and curly brackets.
I'll probably write a short Applescript to automate this but, even without that, it is a very simple operation.
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