Peel and devein the shrimp; reserve the shrimp heads separately. (Shells may be reserved for stock.) Place the shrimp in a small bowl and refrigerate while you make the Calabrian Chile-Shrimp Oil and polenta.

Make the Calabrian Chile-Shrimp Oil:  Combine the olive oil, reserved shrimp heads, Calabrian Chiles, rosemary sprigs, crushed garlic, orange and lemon zest in a medium saucepan and heat over medium-high heat until shrimp heads are toasted and oil is fragrant, about 8 to 10 minutes. Let oil cool in the pot, then strain oil through a fine-mesh sieve and set aside until ready to use. Oil may be prepared up to 1 week in advance and kept in an airtight container in the refrigerator.

Prepare the polenta:  Bring the chicken stock and heavy cream to a boil in a medium saucepan. Whisk in the polenta and return the liquid to a simmer. Reduce heat to a slow but steady simmer and partially cover the pan. Cook, whisking occasionally, until polenta is very tender and creamy, usually about 40 to 50 minutes. (If the polenta gets too thick before it is done, add a bit of water to the pot.) When the polenta is tender, stir in the butter, mascarpone, and Parmesan, and season with salt and pepper to taste. Keep warm (covered) until ready to serve.

Preheat an oven or convection oven to 400 degrees F.

Toss the shrimp with ¼ cup of the Chile-Shrimp Oil and transfer to an ovenproof baking dish. Roast the shrimp in the middle of the oven, stirring occasionally, until the shrimp are just cooked through, usually 5 to 6 minutes. Take care not to overcook.

To serve, spoon some of the polenta into a shallow bowl or an individual cast iron skillet, top with some of the shrimp and any cooking juices. Garnish with the sliced Calabrian chiles, an additional drizzle of the Chile-Shrimp Oil if desired, and a sprinkling of parsley. Serve the crusty bread on the side.

* Notes: 

Any remaining Chile-Shrimp Oil can be frozen for up to 3 months or stored in an airtight container in the refrigerator for up to 2 weeks. It is delicious drizzled over pasta, risotto, or grilled/roasted seafood.

Calabrian chiles are a specialty item that is imported from the Calabria region of Italy. They are smoky, with a piquant spiciness that is not overly hot but very flavorful. They add a delicious kick to a myriad of dishes such as pizzas, panini, and pasta, just for starters. They can be sourced at upscale gourmet markets or ordered online through sites such as amazon.com.