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Heat oven to 220C/200C fan/gas 7. Mix together the polenta, Parmesan and nutmeg, and set aside. Bring a pan of salted water to the boil, tip in the parsnips and cook for 6 mins or until just tender. Drain. While parsnips are still hot, toss with the Parmesan mixture to coat.
Set a roasting tin over the hob and heat the oil. Add the parsnips and turn to coat in the oil. Put the tin in the oven and roast for 15 mins, then turn the parsnips over and cook for 15 mins more until golden.