Remove the stems of the fennel. Rinse and dry the bulbs. Slice each bulb in half lengthwise. With the cut side down, slice the bulb vertically into ½-inch-thick slices.
Arrange the fennel slices in a 13 X 9 -inch baking dish. Drizzle them with the olive oil and use your hands to coat them well. Sprinkle the fennel with salt and pepper.
Bake for 15 minutes. Carefully remove the baking dish from the oven, gently toss the fennel slices, then sprinkle them evenly with grated parmesan cheese.
Return the pan to the oven and keep baking until the fennel is fork-tender and the top is golden brown, about 15 more minutes.
The reason this recipe works so well is the hot oven. You want the fennel slices to caramelize - that's when their flavor and texture transform. So make sure your oven is set to 425 degrees F. A lower oven won't work as well.Another important tip is to dry the fennel bulbs well after you rinse them. This is another way to ensure that the fennel roasts in the oven rather than steams.