Peel and devein shrimp, reserving the shells. Cover the shrimp and refrigerate. Heat the olive oil in a medium (3-quart) heavy-bottomed saucepan over high heat until it begins to smoke. Add the shrimp shells to the pan and cook, stirring constantly, until they turn deep orange and are just beginning to brown, 3 to 4 minutes. Remove pan from burner
Add the wine to the pan. Return the pan to the burner, then boil over medium heat until all the liquid is evaporated. Add chicken stock, saffron, celery, onion, sage and bay leaves. Bring to a boil. Partially cover pan and reduce heat to low. Simmer gently for 30 minutes. Remove from heat and strain the stock through a fine strainer, pushing down on the solids with the back of a spoon to extract all the liquid. Return stock to saucepan.
Whisk the pumpkin, cream and cayenne into the shrimp stock. Bring to a simmer, then cook very gently- uncovered over low heat for 10 minutes. Stir in the lemon juice and season with salt and pepper.
Pour olive oil into a large skillet. Over medium heat saute shrimp and chopped fresh sage, stirring constantly, until the shrimp is just cooked through, pink, and no longer translucent- approx. 2 to 3 minutes. Be careful not to overcook the shrimp. Arrange the shrimp in warmed serving bowls. Ladle the bisque over the shrimp and serve.