Place the shrimp shells and seafood stock in a saucepan and simmer for 15 minutes. Strain and reserve the stock. Add enough water to make 3 3/4 cups.
Meanwhile, heat the olive oil in a large pot or Dutch oven. Add the leeks and cook them for 10 minutes over medium-low heat, or until the leeks are tender but not browned. Add the garlic and cook 1 more minute. Add the cayenne pepper and shrimp and cook over medium to low heat for 3 minutes, stirring occasionally. Add the Cognac and cook for 1 minute, then the sherry and cook for 3 minutes longer. Transfer the shrimp and leeks to a food processor fitted with a steel blade and process until coarsely pureed.
In the same pot, melt the butter. Add the flour and cook over medium-low heat for 1 minute, stirring with a wooden spoon. Add the half-and-half and cook, stirring with a whisk, until thickened, about 3 minutes. Stir in the pureed shrimp, the stock, tomato paste, salt, and pepper and heat gently until hot but not boiling. Season, to taste, and serve hot.
Consumption of raw or undercooked eggs, shellfish and meat may increase the risk of foodborne illness.
2006, Barefoot Contessa at Home, All Rights Reserved