Preheat oven to 350 degrees F.
In 3-quart oven-safe pot over medium heat, heat olive oil. Saute onion until golden. Or, using 3-quart oven-safe microwave casserole dish with lid, add olive oil and onion, microwave until tender, approximately 2 minutes.
Add rice and stir until oil is absorbed.
Stir in preheated broth, salt, saffron, and pepper. Heat, stirring frequently, to boiling. Cover and bake in oven 30 minutes, until liquid is absorbed and rice is tender.
Stir in Parmesan cheese.