Combine shallots, white wine, and vinegar in a small, heavy-bottomed saucepan over medium heat until the liquid has evaporated, about 5 minutes. Whisk in heavy cream, reduce heat to low and simmer until the mixture is reduced by half, about 10 minutes.

Remove the sauce from heat and whisk in the butter, little by little, until smooth. Season with salt and pepper to taste. Add saffron. Keep sauce warm over a double boiler until serving.