If you are using raw lobster, oil the bottom of a roasting pan and place chopped up lobster bodies in the pan with the onion, celery, carrots, parsnips, garlic, and fennel. Roast at 400-degrees until the vegetables take on a color. If you are using frozen or fresh carcasses, roast only the vegetables and add lobster to the stockpot later. Remember that the stock won't have quite as rich a flavor.
Transfer the lobster and vegetables to a large stockpot. Add the saffron, parsley, and thyme sprigs, tomatoes, and wine and fill the pot with 3 quarts of water. Bring it to a boil then turn it down to a simmer. Cook it for 1 to 1 1/2 hours.
Put the stock through a fine strainer, discard the solids, and cool. Use the stock within a couple of days or freeze for future use.
Cooking tips: If you eat a lot of lobster, it's always smart to save the bodies for lobster stock. Just remember that no matter what kind of lobsters you use for stock, you need to remove the head sac first; you don't want that in your stock! To freeze left over lobster, chop the carcass into chunks, wrap and freeze. You can make the stock using raw lobster bodies, as well.