Lay the bay leaves over one monkfish fillet and scatter over the fennel seeds. Lay the other fillet on top and tie at 2.5 cm (1 inch) intervals with fine string. With the tip of a sharp knife, make slits all over the monkfish and push in the garlic slivers. Put the oil, thyme and a little pepper into a glass dish, add the monkfish and turn well to coat. Cover and leave to marinate in the refrigerator for at least 2 hours or overnight.
Remove from the marinade. Pour 2 tablespoons of the marinade into a heavy, nonstick frying pan and heat until almost smoking. Add the monkfish and cook, turning, for 2–3 minutes until sealed. Set aside.
Heat the remaining marinade in the pan. Add the vegetables and quickly brown. Transfer to a heavy, shallow baking dish, set the monkfish on top and add the tomatoes and lemon juice. Bake in a preheated oven, 220°C (425°F), Gas Mark 7, for 20 minutes, basting and turning the vegetables occasionally.
Remove the string and cut the fish into thick slices. Season the vegetables with salt and pepper. Serve the monkfish on the vegetables, garnished with the capers and parsley.