Preheat your indoor or outdoor grill to medium-high. Place the bell pepper, onion, zucchini or eggplant, mushrooms and asparagus in a single layer on a baking sheet. Brush the vegetables with 2 Tbsp. of the olive oil. Sprinkle with cumin, oregano, salt and pepper.
Grill the vegetables 1 to 2 minutes per side, or until lightly charred and just tender. Set back on the baking sheet and set aside.
Soak the saffron in very hot water 5 minutes. Heat the remaining 2 Tbsp. of olive oil in a large (about 10") skillet set over medium heat. Add the rice, onion and garlic and cook 3-4 minutes, until rice is lightly toasted. Add the stock, tomato, paprika and saffron mixture. Season with salt and pepper and bring to a boil. Cover the pan, reduce the heat to low, and cook the rice 10 minutes. Uncover rice and nestle in the grilled vegetables and olives. Cover and cook on low heat 5 to 7 minutes more, or until the rice is tender. Sprinkle with parsley; serve with lemon wedges.
Note: Saffron threads are sold in bottles in the herb and spice aisle.