Its a good question. As HaroldWonh says, baking can mean cooking something that will transform its shape or structure when cooked, like a cake (or a pizza, since the dough rises during baking). While roasting basically means cooking in the oven (nel forno). Baking can also be used to mean roasting something while it is covered (with a lid, or foil, or pastry, or a sauce, or in its own skin).
"al forno" typically means baked (to the oven), whilst "arrosto" means roasted, but you can also have "arrosto al forno" which means oven roasted.