In a saucepan, add diced shallots, white wine, and saffron. Reduce for 15 minutes over low heat, then add heavy cream and reduce for another 10 minutes or until you see sauce come together with the heavy cream.
Add butter in medium-sized squares. Blend. Add salt, pepper, and lemon juice to taste
In a separate large pan, heat olive oil. Add dry chorizo, fennel, jalapenos, and mussels. Saute for 5 minutes, then add white wine and let simmer for 2 minutes.
Add prepared cream sauce and serve immediately with crostinis.