In a large pan, melt the butter. Add the shallots and cook until they are soft and translucent. Add the saffron, bay leaf, thyme, tarragon and white wine and bring to the boil.
Once the mixture has reduced by half, add the cream and fish stock to the pan and bring back to the boil. Add the mussels and place a lid over the pan.
Once the mixture has returned to the boil and the mussels have opened, strain the mussels in a colander over a pan to collect the sauce. Discard any mussels that have not opened.
Gently heat the sauce until it has reduced further and season with salt and freshly ground black pepper.
To serve, place the mussels into a bowl and pour the reduced sauce over them.