The 34-year-old Englishman finished at 21-under 267 at the Royal Park Roveri club for a one-stroke victory over Olesen of Denmark and Gary Boyd of England.
Olesen put pressure on Rock from the start in shooting a 62, while Boyd had a 66.
Rock drove into the trees on the par-4 17th, but hit a risky second shot up the fairway then got up and down from 60 yards. Needing only a par on the par-5 18th, he played it safe, using three shots to reach the green before rolling his fourth shot to within inches of the cup, then tapping in for victory.
Rock has qualified to play in his first U.S. Open this week at Congressional.
Rock's previous best results were three second-place finishes. This was his 209th event as a professional and he made a slight change in his putting grip during the opening round after reading a tip from an old golf book given to him by a friend.
"I've been waiting a long time for the chance to do this," Rock said, adding that he has enjoyed this tournament since it moved to its new location just outside Turin two years ago. "I was expecting to do well this week but not really expecting this."