Heat the olive oil in a medium-sized pot over medium-high heat. Saute the onions, celery, carrot, fennel and shrimp shells until the vegetables are translucent and the shells turn orange, about 6 to 8 minutes.
Add the bay leaves, thyme and peppercorns, then the white wine. Bring to a boil, then cover everything with water to a depth of about 1 inch. Crumble the saffron into the broth. Let this simmer gently for 45 minutes to 1 hour.
Set a paper towel inside a strainer and put the strainer over a large bowl. Ladle the stock from the pot through the strainer to remove all debris. Add salt to the strained stock to your liking.