In a large saucepan, bring 1 in. of water to a boil. Add fennel; cover and cook for 6-8 minutes or until crisp-tender. Drain and pat dry; place in a greased 11x7-in. baking dish.
In a small saucepan, melt butter. Stir in flour, salt and pepper until smooth; gradually add cream. Bring to a boil; cook and stir for 1-2 minutes or until thickened. Stir in Gruyere cheese. Pour over fennel and sprinkle with Parmesan cheese.
Cover and bake at 375° for 15 minutes. Uncover; bake 15-20 minutes longer or until golden brown and bubbly.