1. Season the shrimp with salt and pepper.
2. Heat the oil in a large saute pan on high heat and add the shrimp.
3. Sprinkle with the lemon juice.
4. Cook, tossing occasionally, about 3 to 4 minutes or until cooked through and starting to turn golden.
1. Dissolve the saffron in 2 tbsp. of water to make saffron mixture.
2. Put the egg yolks, lemon juice, vermouth, salt, saffron mixture and vanilla in a medium bowl over a medium saucepan of simmering water.
3. 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.
4. Remove from the heat and continue whisking until the mixture has cooled.
5. Season to taste.
1. Serve the shrimp with the sabayon.
2. Garnish with lemon wedges and parsley sprigs.