Heat the butter in a large saucepan, add the prawn heads and shells and cook, stirring, over medium heat for 5 minutes, lightly crushing the heads with a wooden spoon.
Add the flour to the pan and stir until combined. Add the stock and paprika and stir over medium heat until the mixture boils. Reduce the heat and simmer, covered, over low heat for 10 minutes.
Strain the mixture through a fine sieve set over a bowl, then return the liquid to the pan. Add the prawns and cook over low heat for 2–3 minutes. Cool slightly, then process in batches in a food processor until smooth.
Return the mixture to the pan. Add the cream and sherry to the pan and stir to heat through. Season with salt and pepper. Serve topped with a swirl of cream and sprinkled with paprika.