Senad Lulic scored the only goal of the game in the second period to win it for Lazio.
It means they qualify for the Europa League whilst Roma miss out on Europe entirely, despite finishing above Lazio in the league this season.
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The reputation of the Premier League means it is the most popular and one of the most watched leagues in the world.
Five English clubs will compete in the last sixteen of the Champions League for the first time ever as Liverpool, Manchester United, Manchester City, Chelsea and Tottenham face some difficult away matches.