Preheat your oven to 400°F (200°C). Line a baking sheet with parchment paper.
Place the salmon fillets on the prepared baking sheet. Drizzle with olive oil and season with salt and pepper.
In a skillet over medium heat, sauté the asparagus for about 3-4 minutes until tender but still crisp. Remove from heat and set aside.
In a small saucepan, combine the heavy cream, chicken broth, Dijon mustard, lemon juice, and dill. Heat over low heat until warmed through, stirring occasionally.
Pour the cream mixture over the salmon fillets. Sprinkle the sautéed asparagus around the salmon and top with grated Parmesan cheese.
Bake in the preheated oven for 15-20 minutes, or until the salmon is cooked through and flakes easily with a fork.
Serve immediately, garnished with additional dill if desired.