Heat the butter in a saucepan. Add the leeks, rosemary and bay leaf, then cover and cook very gently over a medium-low heat for 15-20 mins until the leeks are soft. Pour over the milk and almost all of the cream, then season and bring to the boil. Remove from the heat and leave to cool a little, then scoop out the bay leaf.
Pour a little of the leek mixture into an ovenproof gratin dish. Arrange a layer of celeriac in the dish, then season. Spoon over some more of the leek mixture and scatter with a little cheese. Repeat the process, alternating between layers of the leek mixture, cheese and celeriac slices, then finish with a drizzle of cream and the last of the cheese. Can be prepared up to a day ahead and kept in the fridge.
Heat oven to 180C/160C fan/gas 4. Bake the gratin for 1 hr-1 hr 15 mins until the top is golden and the celeriac is tender when poked with a knife. If the gratin is browning a little too much, cover the dish in foil. Can be chilled, then reheated in a microwave or oven on a low heat with a drizzle more cream.