In a saucepan bring broth and water to a simmer and add saffron threads; keep at a bare simmer.
In a 2 1/2- to 3-quart heavy saucepan, cook 2 tablespoons butter over moderate heat, stirring occasionally, until softened. Add rice, stirring to coat with butter. Add 1 cup simmering broth mixture and cook, stirring constantly and keeping at a simmer, until absorbed. Continue cooking at a simmer and adding broth mixture, about 1/2 cup at a time, stirring constantly and letting each addition be absorbed before adding next, always keeping rice covered with liquid. Cook until rice is tender and creamy-looking but still al dente, about 18 minutes total. (There may be broth mixture left over.) Stir in Parmesan, remaining tablespoon butter, and salt and pepper to taste and cook over low heat until heated through, about 3 minutes.