Skin the fish, debone and cut into cubes. Heat the oil in a pan. Add fennel, shallots and garlic and sauté till fennel is tender.
Add the fish, tomatoes, parsley, fresh thyme, bay leaf, saffron, fish stock, salt and pepper. Bring the mixture to boil, reduce heat and simmer, stirring occasionally to break up the tomatoes.
Remove the bay leaf. Cool the mixture and process it in a food processor. Pour the mixture into a pan and heat without boiling. Sprinkle the cheese on the soup and serve hot.