Preheat the oven to 180°C conventional oven/ 160°C fan-forced (350° Fahrenheit/Gas 4). Line a baking dish with baking paper.
Place the lamb shanks into a large bowl. Add the capers, rosemary and anchovies. Drizzle over the olive oil and use your hands to rub the olive oil, herbs and anchovies into the lamb shanks.
Use a small sharp knife to make small slits over the lamb shanks. Press the garlic halves into the slits in the lamb. Scatter the chopped onion and bay leaves over the lamb. Add the tomato paste and pour over the hot chicken stock. Bake for 1 hour, uncovered then remove from the oven.
Turn the lamb shanks and pour over the white wine. Bake, covered, for a further 2 hours or until the shanks are tender.
Strain the cooking liquid through a sieve into a medium-sized saucepan, using the back of the ladle to extract as much flavour as possible. Cook over medium heat to reduce cooking liquid until it reaches a thick and rich gravy consistency.
Meanwhile, to make the Polenta, use a medium-sized saucepan to bring 1 litre of water to the boil over high heat. Reduce the heat to low and gradually add the instant polenta in a thin steady stream, stirring constantly until the polenta boils and thickens – refer to the time specified in packet instructions. Remove the Polenta from the heat. Add the Parmigiano Reggiano, butter and season with salt to taste. Stir to combine.
Divide Polenta and lamb shanks among bowls. Pour over the gravy and sprinkle with finely chopped parsley on top – buon appetito!