Pre-heat the oven to 180°C. In a pan, melt the butter and sauté the cod with the garlic over a moderate heat for 2 minutes, set aside. Once cool add the parsley, cayenne pepper and saffron.
Saute the sliced peppers in some olive oil until softened, set aside. Grease a gratin dish and arrange the cod, potato and peppers in layers in the dish, brush each layer with olive oil. Place in the oven and bake for 20 minutes.