In a large sauté pan, heat the oil. Sauté vermicelli and onion until golden brown (for about 2–4 minutes) over medium-high heat. Drain off oil.
Add rice, chicken broth, water, pepper, and bay leaf. Cover and simmer for 15–20 minutes. Fluff with fork. Cover and let stand for 5 minutes. Remove bay leaf.
Sprinkle with shredded parmesan cheese, and serve immediately.