Given that intersection is an operation between two sets, and you have given two lists of lists, it's very unclear what you're looking for. Do you want the intersection of a[1] and b[0]? Do you want the intersection of every possible combination?
I'm guessing you want the intersection of every combination of two sets between your two lists, which would be:
from itertools import product
[set(x).intersection(set(y)) for x, y in product(a, b)]