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Heat the oven to 220C/200C fan/gas 7 and line a baking tray with baking parchment.
Grind the saffron into a powder using a pestle and mortar with a pinch of sea salt to help crush it (good-quality saffron will always crush easily rather than stay wiry).
Put the ground saffron in a small cup and pour over 2-3 tbsp of boiling water from a freshly boiled kettle. Stir and leave to infuse for 10 mins.
Put the yogurt in a separate bowl with the lemon zest and juice and lemon extract, and a generous amount of black pepper. Stir well, add the saffron infusion and mix until the yogurt is bright yellow.
Put the fish in a shallow bowl just big enough to fit it and pour over the marinade to coat the fish. Leave to sit for 5 mins, then transfer the fish to the prepared baking tray. Spoon any marinade left in the bowl, including any loose saffron strands, over the fish, and roast for 10 mins until cooked through. Serve immediately.