Mushroom duxelles:
Season the tenderloin generously with salt and pepper. Heat a tablespoon or two of oil in a large pan on high heat. Sear until well browned on all sides.
Remove the tenderloin from the pan and let cool. Once cooled, brush the fillet on all sides with mustard.
Heat the sauté pan on medium high heat. Fry the shallots in butter and olive oil for a few minutes. Add chopped mushrooms and thyme, and fry until moisture has evaporated. Season with salt and pepper. Set aside to cool.
Roll out a large piece of plastic wrap. Lay out the slices of Parma ham on the plastic wrap so that they overlap. Spread the mushroom mixture over the ham.
Place the tenderloin in the middle, roll the mushroom and ham over the beef tightly, using the plastic wrap.
Wrap up the beef filet into a tight barrel shape, twisting the ends of the plastic wrap to secure. Refrigerate for 20 minutes.
Dust tabletop with flour. Roll out the puff pastry sheet to a size that will wrap around the beef fillet. Unwrap the fillet from the plastic wrap and place in the middle of the pastry dough. Brush the edges of the pastry with the beaten egg yolks.
Fold the pastry around the fillet, cutting off any excess at the ends. Try not to overlap too much as the pastry that is more than 2 layers thick will not cook through.
Place on a small tray, seam side down. Chill for 10 minutes or covered up to 24 hours.
When ready to bake, preheat oven to 200°C.
Place the pastry-wrapped fillet on a baking pan. Brush with beaten eggs.
Score the top of the pastry with a sharp knife, not going all the way through the pastry. Sprinkle the top with coarse salt.
Bake at 200°C for 25 to 35 minutes. The pastry should be nicely golden when done. To ensure that your roast is medium rare, test with an instant read meat thermometer. Remove from oven when it reads 52 to 55°C for medium rare.
Remove from oven and let rest for 10 minutes before slicing into 1-1.5 inch thick slices.
