The example works fine for me. It seems like the most likely cause of your issue is your export settings. One thing that you might try is to add this to the top of your file.
#+Options: *:t
If you already have an options section on your file you may want to check that you do not have *:nil anywhere in this line. If you do change it to `*:t as in the example above. You might also want to check that you have not set `org-export-with-emphasis' to nil anywhere in your init file.
More info on configuring export settings can be found here:
http://orgmode.org/manual/Export-settings.html