Spanish Burger with Pickled Shallots

Name: Spanish Burger with Pickled Shallots
Ingredients: 1 stick unsalted butter; 1 tablespoon harissa; 2 cloves garlic, smashed; 3/4 cup sherry vinegar; 1 tablespoon sugar; Kosher salt; Pinch of saffron; 2 large shallots, thinly sliced; 1/4 cup mayonnaise; 1 teaspoon harissa; 1/4 teaspoon smoked paprika; 2 jarred piquillo peppers (or 1 roasted red pepper),patted dry; 1 anchovy fillet; Juice of 1/2 lemon; Kosher salt and freshly ground pepper; 1/2 cup canola oil; 4 thin slices prosciutto di Parma; 1 1/4 pounds ground beef chuck; 1 tablespoon canola oil; 4 slices fontina cheese; 4 soft sesame buns, lightly toasted; Baby arugula, for topping