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In a 10- to 12- inch saute pan, heat olive oil over medium-high heat until almost smoking. Add onion and celery and cook until softened. Add tomatoes, pine nuts, currants, capers, Marsala, fennel seeds, red pepper flakes and bay leaf. Bring to a boil.
Remove the pan from the heat and lay the shrimp in one layer in the tomato mixture. Cover, set over low heat and simmer for 4 minutes. Remove from the heat, season with salt and pepper to taste and let stand for 5 minutes, covered. Serve warm or at room temperature. Garnish with fennel fronds, if desired.