The vanilla-saffron sauce is a loose sabayon—more like a foamy sauce than a thick custard. Vermouth and lemon juice give it a refreshing hit of acidity. Yield is 4 servings.
Season the shrimp with salt and pepper.
Heat the oil in a large saute pan on high heat and add the shrimp.
Sprinkle with the lemon juice.
Cook, tossing occasionally, about 3 to 4 minutes or until cooked through and starting to turn golden.
Dissolve the saffron in 2 tbsp. of water to make saffron mixture.
Put the egg yolks, lemon juice, vermouth, salt, saffron mixture and vanilla in a medium bowl over a medium saucepan of simmering water.
Beat with a whisk until pale yellow in colour and ribbons form when you lift the whisk and wave it back and forth over the mixture, about 2 minutes.
Remove from the heat and continue whisking until the mixture has cooled.
Season to taste.
Serve the shrimp with the sabayon.
Garnish with lemon wedges and parsley sprigs.