Melt butter in a small saucepan and blend in the flour with a wooden spoon. Simmer roux for a minute or two, stirring continuously. Remove from heat and add fish stock.
Return to heat and simmer, stirring constantly, until sauce comes to a boil. Mash buttered shrimps slightly with a fork and add them to the sauce. Just before serving, add cream, and salt, white pepper, cayenne an