1. Wash and clean the fennels. Remove the tough outer layer and slice the bulbs in 1/2 inch strips. Boil the fennel strips in salted water for about 10 minutes. Drain and set aside.
2. Prepare the Bechamel Sauce by warming up the milk in a pan and melting in it the butter over medium heat. Stirring continuously, slowly add the sifted flour. Whisk continuously until very smooth. If lumps form, break them with a spoon. Bring to boil for no more than one minute. Remove from heat and season with salt. Grate a small amount of nutmeg over the sauce and mix.
3. Lay the previously cooked fennel strips in a baking pan and pour on top the béchamel sauce covering it entirely. Sprinkle the grated cheese all over the fennel gratin.
4. Cook in the pre heated oven for about 20 minutes at 200°C until the top is brown.