Preheat oven to 375ºF. Place cauliflower in a large dutch oven or other high-sided oven proof pot or dish.
In a small bowl, mix oil, zest, juice, and saffron. Pour evenly oven cauliflower, rubbing with hands to evenly distribute. Sprinkle over salt and pepper. Bake for 45 minutes. Remove from oven and evenly pour oven coconut milk and ¼ cup water. Bake for an additional 10 to 15 minutes.
Immediately before serving, sprinkle over parsley and hazelnuts. Slice into quarters. Serve hot.