Wash the fennel bulb, remove the outer hard leaves. Cut off the stalk. Cut the bulb into quarters lengthwise. Steam in a little salted water for about 10 minutes.
Drain, sprinkle with pepper, wrap each with half a slice of ham and with a slice of cheese. Arrange in a circle in a greased gratin dish. Grill under a hot grill in the oven until the cheese is golden brown. Variation: instead of processed cheese, you can use butter cheese in slices that are not too thin. Drizzle a Mornay sauce over the vegetables for a thick crust and even more cheese flavor. To make this, cook a thick bechamel sauce and season with plenty of grated cheese and nutmeg. Gratinate under the hot grill.