It’s LA DOLCE VITA, to the power of three!

I feel like Virginia Woolf on the Grand Tour, arriving in Rome with Venice and Milan to come. The Eternal City is where Woolf said she would come to die. But nothing really dies in this glorious city of ghosts, where centuries are laid bare across the seven hills.

There is the huge Colosseum where gladiators and wild animals shed their blood; the Forum, central to Rome’s daily life; the Vatican museums packed with Christian treasure; and the Ghetto, where Jews were shut in behind a high iron gate by Pope Paul IV in 1555.

I am staying in probably Italy’s classiest hotel, the Baglioni. It exudes glamour, with marble and mirrors, Murano chandeliers, frescoed ceilings and a penthouse with the city’s highest terrace and 360deg views across the skyline of 900 churches.

I jog through the nearby Villa Borghese with its sudden gusts of orange blossom, stately cypresses and pines planted by Mussolini because he wanted Rome to be as grand as Berlin.

The city is glowing in the warm winter sun, loud, vibrant and thronging with La Dolce Vita. I sit beside the Trevi Fountain under the moonlight after eating the local caccio e pepe pasta at Trattoria Giggetto in the Ghetto, where I also visit the magnificent synagogue with its stained glass windows.

Then an evening at the Baglioni, with a Michelin meal and show by Caroline Smith’s Dance Academy of slickhaired Romeos in silk suits and open shirts, to sweep the gals off their feet. Next I’m on the train rolling across countryside as Venice comes into focus through the fog.

The Luna Baglioni is almost on the Grand Canal, opulent and romantic, with striking gold silk covering the walls and a breakfast room that was once the only casino in Venice and Casanova’s favourite haunt.

It’s a grand occasion when you start the day sitting beneath pink and cream Tiepolo frescoes, and a plate stuffed with homemade Venetian cakes and other delicacies.

Other treats include dining at Da Forno, the most atmospheric restaurant in Venice, where hand-written comments by Paul McCartney and Prince Charles are kept in a thick leather-bound book along with other famous names.

The feeling of other-worldliness is suddenly there again within the whispers of Venice’s narrow walkways and bridges as gondolas float by with their coloured hanging lamps past abandoned, desolate buildings where families have fled the rising waters.

As my Italian improves I feel a surge of confidence, enough to tackle that chic, fashion centre of the world, Milan. The Carlton Hotel Baglioni has probably the best location in the city, facing that glitzy, well-trodden shopping street, Via della Spiga, home of Cavalli and Moncler.

The hotel is smart and has a real verve about it, with super-smooth service and rooms that elegantly combine antiques with bold modern colours. It’s also home to what many consider the city’s best restaurant, Baretto, which resembles a woodpanelled English smoking club with tartan carpets and reserves a table for Anna Wintour and Kate Moss every evening during fashion week.

This hub of Milan is in full swing, driven by elegant fashion seekers, but the cooler part of the city, with the tiny, hidden shops that the uninitiated might miss, is around Brera. Here I buy three pairs of unique, hand-made shoes from Manee, and an exquisite silk-lined jacket from 10 Corso Como, a converted garage.

Milan’s culture is sometimes overlooked by the shoppers who find themselves in a paradise of choice clothes, handbags, perfumes, glassware, the best of everything.

There are the obvious sights like the magnificent Gothic Duomo, a masterpiece of engineering which took 600 years to complete, and the renowned opera house La Scala.

But for me, it is about the more private, intimate moments I spend in the Pinacoteca di Brera, mesmerised by Bellini’s Madonna and Child, and the Renaissance church of Santa Maria delle Grazie, where Leonardo painted his Last Supper. While my friends flock to Thailand and the Caribbean, these three transfixing cities feel like a wonderful choice, one of real drama and diversity. A trip that really belongs to me.