Preheat oven to 450 degrees.
Peel and de-vein shrimp.
In a 12- to 14-inch earthenware casserole (both stove and oven-resistant), heat olive oil over medium high heat, add onion and celery and cook until soft. Add tomatoes, pine nuts, currants, capers, Marsala, fennel stalk and bay leaf and bring to boil. Remove from heat and place shrimp in one layer into juices. Place in oven and bake uncovered for 6 to 7 minutes. Remove, sprinkle with cheese and allow to stand 15 minutes. Eat warm or allow to cool and serve refrigerated.