Preheat the oven to 195°C.
Heat the oil in a frying pan.
Season the beef and brown the fillet on all sides quickly.
Remove the fillet reserve on a plate in the fridge.
Chop the shallots, mushrooms and garlic and blend in a food processor.
Add the mixture to a hot buttered pan, add thyme and cook through.
Place onto plate to cool.
Dry the steak of any resting juices.
Brush the steak all over with the mustard.
Lay a sheet of clingfilm on a table and lay the Parma ham over this.
Spread the mushroom mixture evenly over the top of the beef, then place the steak in the centre of the ham.
Wrap the ham around the whole steak, then wrap with the cling film to form a nice shape and return to the fridge to set.
Cut out three sheets of puff pastry, remove the clingfilm from the beef and place the beef into the centre of the pastry.
Brush egg wash around.
Place the other sheet on top, press down lightly and egg wash..
Using a reversed pastry cutter, press down to seal the all the pastry together.
Place in the fridge and allow to set, remove and reshape the beef making sure there is not any gathering of the pastry and cut out.
Glaze the pastry with the egg wash and bake at 195°C for 22 minutes, until the pastry is golden brown.
The steak will now have cooked up to medium rare.
Leave to rest for two minutes before carving in half with a serrated knife to serve.