Preheat oven on Roast setting to 375 degrees, if you don't have a Roast setting, use Bake setting.
Line a baking sheet with parchment paper or foil.
Cut off the top of the fennel bulbs. Reserve fronds as a garnish for later (Fronds are the grassy part that look like dill). Then remove tough outer layer of bulb.
Slice fennel in half, vertically. Then vertically slice each half. (In order for the slices to stay together, do not trim the bottom of the fennel.)
Chop reserved fonds, leaving some bigger pieces too.
Arrange fennel in a single layer on the baking sheet.
Sprinkle with salt and pepper.
Drizzle oil.
Sprinkle with parmesan.
Bake until fork-tender, approximately 35-45 minutes.
Place roasted fennel on a platter. Sprinkle and/or place fronds over the fennel slices.