1) Preheat the oven to 200°C/gas mark 6.
2) Remove the fennel stems and slice the bulbs in half lengthwise. With the cut side down, slice each bulb vertically into generous 1cm thick slices, cutting right through the core. Spread the fennel slices on a baking sheet, coat with the olive oil, salt and pepper, and toss with your hands.
3) Roast the fennel slices for about 1 hour, turning them once after 30 minutes, until the edges are crisp and brown. Remove from the oven and cover with Parmesan cheese shavings.
Taste for salt and pepper and serve.