documentclass{article}

usepackage{makeidx}
makeindex

begin{document}
Text

index{sin@$sin$}    % just some examples of index entries
index{cos@$cos$}
index{tan@$tan$}

index{greek.a@$alpha$}    % symbols with greek letters
index{greek.b@$beta_{x,y}$}

index{(@$(a)_n$}    % an entry with a bracket

printindex

end{document}