Place milk in work bowl of stand mixer; add honey and saffron and stir until honey dissolves. Let stand at room temperature until cooled to about 110F, about 10 minutes. Add yeast and let stand until frothy, about 10 minutes more.
Add flour and mix with dough hook on low speed until dough is smooth and elastic, about 10 minutes. Add salt and oil and continue to mix until oil is incorporated and dough is smooth and shiny, 1-2 minutes.
Oil a bowl. Form dough into a ball and place in bowl, turning over to coat with oil. Cover with plastic wrap and let stand in a warm place until doubled in bulk, about 60-90 minutes.
Sprinkle a baking sheet or baker's peel with cornmeal. Gently shape dough into a very tight, compact ball without deflating it completely. Place on sheet/peel, cover with plastic and let double again, about 30 minutes. Meanwhile, preheat oven to 350°F.
Slash dough in desired pattern. Place baking sheet on middle rack (or slide dough off peel onto baking stone). Bake until golden brown, about 40 minutes. Cool to room temperature before slicing.