Cut the tips off each asparagus spear and reserve them. In a large shallow baking pan toss the asparagus stalks with the oil, coating them well, and roast them in a large shallow roasting pan in a preheated 500 degree F. oven, shaking the pan every few minutes, for 5 to 10 minutes, or until they are crisp-tender. Sprinkle the asparagus with salt to taste and let it cool. Cut the roasted asparagus into 1/2-inch lengths and reserve it.
In a large bowl of cold water let the sheets of lasagne soak for 15 minutes, or until they are softened. In a saucepan melt the butter, add the flour, and cook the roux over moderately low heat, stirring, for 3 minutes. Add the broth and the water in a stream, whisking, simmer the mixture for 5 minutes, and whisk in the goat cheese, the zest, and salt to taste, whisking until the sauce is smooth.
Drain the pasta well, arrange 1 sheet of it in a buttered 8-inch-square baking dish, and spread with one fourth of the sauce. Top the sauce with one fourth of the reserved roasted asparagus and sprinkle the asparagus with 1/4 cup of the Parmesan. Continue to layer the pasta, the sauce, the asparagus, and the Parmesan in the same manner, ending with a sheet of pasta. In a bowl beat the cream with a pinch of salt until it holds soft peaks. Arrange the reserved asparagus tips decoratively over the pasta, spoon the cream over the pasta and the asparagus tips, spreading it with the back of the spoon, and sprinkle the remaining Parmesan on top. Bake the lasagne in the middle of a preheated 400 degree F. oven for 20 to 30 minutes, or until it is golden and bubbling, and let it stand for 10 minutes before serving.
Adapted from a Gourmet Magazine recipe