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Preheat the oven to 325 degrees. With a sharp knife, cut about 1 inch from the bottom (narrow end) of the shank bones to the bone and all the way around; this will help expose the bone while cooking. Season with salt and pepper; reserved.
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Heat oil in a large heavy pot over medium-high heat. Working in batches, include lamb, and sear up until brown all over, about 2 minutes per side.
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Pour off all however 3 tablespoons fat. Add celery, carrot, and onion, and cook till soft and starting to brown, 5 to 6 minutes. Include tomato paste, and cook about 3 minutes more. Stir in red and gewurztraminer, thyme, bay leaf, peppercorns, anchovies, garlic, vinegar, and sugar. Boost heat to high, and bring to a boil. Prepare for about 5 minutes to burn some of the alcohol. Add veal and chicken stocks.
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Add lamb and return to a boil.
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Eliminate shanks from braising liquid; pressure the liquid and dispose of the solids. Skim any fat that increases to the surface area and utilize the liquid as a sauce. Spoon some polenta onto a serving plate. Leading with a lamb shank. Spoon sauce around plate and serve instantly.