Puree the three egg yolks with mustard and vinegar. Gradually add the olive oil until a creamy sauce is formed. Add herbs and capers. Season to taste with salt and pepper.
Cut into the shell of the shrimp and remove the intestines. Leave the bowls on. Drizzle the shrimp with lemon juice and season with salt. Grill over high heat for approx. 2 minutes on each side. Serve with the sauce and lemon wedges.