Rinse the fish bones to remove any excess skin or scales which might be sticking to them.
Heat a large stock pot over medium heat and add the oil. Add the vegetables and stir. Cook them for about a minute but do not allow them to color. Add the fish bones and cover the pot, allowing the bones to cook until they start to become opaque (about 5 minutes).
Add the wine and reduce by half. Add the cold water, bay leaf, peppercorns and parsley. Bring to a simmer and cook for about 20 minutes.
Cool and strain through cheesecloth.