In a small bowl, crumble the saffron threads and pour in 1/4 cup of the hot shrimp stock. Let it steep for 5 minutes to release its vibrant color and flavor. Add the saffron infused stock to larger bowl of shrimp stock.
In a large saucier or saucepan heat olive oil over medium heat. Add the shallot and cook, stirring occasionally, until softened and translucent, about 5 minutes.
Add the rice and toast, stirring constantly, until the grains are coated with oil and opaque, about 2 minutes.
To the shallots and rice add the white wine and cook, stirring constantly, until the wine is absorbed, about 1 minute.
Add the saffron-infused stock to the rice one ladleful at a time. Stir constantly until each ladleful is absorbed before adding the next. This process takes about 20-25 minutes, until the rice is tender and creamy, but still with a slight bite.
Once the rice is cooked, remove the pan from heat and stir in the Parmesan cheese, butter, salt, and pepper. Taste and adjust seasonings as needed.