Preheat oven to 400°F (200°C). Line a baking dish with parchment paper.
Place salmon fillets on the dish, drizzle with olive oil, and season with salt and pepper.
Bake salmon for 12 to 15 minutes until flaky and tender.
Meanwhile, melt butter in a skillet over medium heat. Add garlic and sauté until fragrant.
Pour in heavy cream, Dijon mustard, and lemon juice. Stir and let simmer for 5 minutes.
Add Parmesan and chopped dill, stir until smooth and slightly thickened.
Remove salmon from oven, spoon creamy dill sauce over the fillets, and serve warm.