\setmainfont[ItalicFont=GFSOlgaGrDidotItEn,
            BoldFont=GFSDidotBold,
            BoldItalicFont=GFSDidotBoldItalic,SlantedFont=GFSDidotItalic,
            SmallCapsFeatures={Numbers=OldStyle}]{GFSDidot.otf}
\setmathfont{NewCMMath-Book.otf}
\setmathfont[range=\mathup/{num,latin,Latin,greek,Greek}]{GFSDidot.otf} 
\setmathfont[range=\mathbfup/{num,latin,Latin,greek,Greek}]{GFSDidotBold.otf} 
\setmathfont[range=\mathit/{greek,Greek}]{GFSOlga.otf}
\setmathfont[range=\mathit/{num,latin,Latin}]{GFSDidotItalic.otf}
\setmathfont[range=\mathbfit/{num,latin,Latin,greek,Greek}]{GFSDidotBoldItalic.otf}

%%%%%%%%%% Fix epsilons %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\AtBeginDocument{\renewcommand*{\epsilon}{\textit{ε}}
\renewcommand*{\varepsilon}{\textsl{ε}}}
%%%%%%%%% Fix phi %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\newfontfamily\phifix[Scale=1.2]{GFSDidotItalic.otf}
\AtBeginDocument{\renewcommand*{\phi}{\textrm{\phifix\char"03D5}}}
%%%%%%%%% Fix theta %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
\AtBeginDocument{\renewcommand*{\theta}{\textsl{θ}}
\renewcommand*{\vartheta}{\textit{θ}}}
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%