Heat the oil in a paella or large, shallow frying pan, then gently fry the onion for five minutes. Add the peppers and fennel, and fry over medium heat until soft and golden - about eight minutes.
Add the garlic, cook for a minute, then add the bay leaves and spices, stir, add the rice and cook, stirring, for two minutes. Add the sherry and saffron, boil down for a minute, then add the stock and a third of a teaspoon of salt.
Reduce the heat as low as it will go and leave to simmer for 20 minutes, or until most of the liquid has been absorbed. Do not stir: the low heat will prevent the rice from sticking to the bottom of the pan.
Remove the pan from the heat. Taste and add salt if needed, but avoid stirring the rice and vegetables much. Scatter the tomatoes, artichokes and beans over the rice, cover the pan tightly with foil and leave to rest for 10 minutes.
Take off the foil, scatter the olives on top, sprinkle with parsley and serve with lemon wedges.