Preheat the oven to 180°C/Gas Mark 4. For the béchamel, heat the milk with the bay leaf, onion, celery and peppercorns until just below simmering. Remove from the heat and set aside to infuse.
Peel and deseed the squash and cut into 2cm cubes. Toss with
4 tablespoons oil in a roasting dish, season well with salt and pepper and roast for 30 minutes, or until tender. Remove from the oven, toss immediately with the garlic and thyme, and set aside.
Trim the fennel, removing the tough outer layer, then cut into roughly 5mm slices. Heat another 2 tablespoons oil in a large frying pan over a medium-low heat. Add the fennel and sauté for 10–15 minutes, or until tender. Set aside.
Gently reheat the infused milk, then strain. Heat the butter in a large saucepan over a medium heat. Stir in the flour to form a smooth roux and cook gently for a minute or two. Take off the heat. Add about a quarter of the hot milk and beat well until smooth. Repeat with the remaining milk, adding it in 2 or 3 lots, until you have a smooth sauce. Return to the heat and cook, stirring often and allowing it to bubble gently for a few minutes, until thickened. Stir in the mustard and season with salt and pepper.
Spread a third of the béchamel sauce over the bottom of a 28 x 22cm (or thereabouts) ovenproof dish. Layer half the lasagne sheets in the dish, then scatter the roasted squash evenly over it. Trickle over another third of the sauce. Add another layer of lasagne, then the fennel. Scatter the crumbled cheese over the fennel, then spoon on the remaining béchamel.
Sprinkle with the grated cheese and add a trickle of oil. Bake for about 30 minutes until golden. Serve at once, with peas or a green salad.
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