Wrap each beef fillet tightly in a triple layer of cling film to set its shape, then chill overnight. 

Remove the cling film, then quickly sear the beef fillets in a hot pan with a little olive oil for 30-60 seconds until browned all over and rare in the middle. Remove from the pan and leave to cool. 

Finely chop the mushrooms and fry in a hot pan with a little olive oil, thyme leaves, and seasoning. 

Cook over high heat for about 10 minutes until all excess moisture has evaporated, leaving a mushroom paste (duxelles). Remove from the pan and leave to cool. 

Cut the puff pastry in half, place on a lightly floured surface, and roll each piece into a rectangle large enough to envelop one of the beef fillets. Chill in the refrigerator. 

Lay a large sheet of cling film on a work surface and place 4 slices of Parma ham in the middle, overlapping them slightly to create a square. 

Spread half the duxelles evenly over the ham. Season the beef fillets, then place them on top of the mushroom-covered ham. 

Using the cling film, roll the Parma ham over the beef, then roll and tie the cling film to get a nice, evenly thick log. Repeat with the other beef fillet, then chill for at least 30 minutes. 

Brush the pastry with the egg wash. Remove the cling film from the beef, then wrap the pastry around each ham-wrapped fillet. 

Trim the pastry and brush all over with the egg wash. Cover with cling film and chill for at least 30 minutes. 

Preheat the oven to 200°C (fan 180°C/gas 6). Place the Wellington on a baking tray and bake until golden and crisp – 20-25 minutes for medium-rare beef, 30 minutes for medium. 

Allow to stand for 10 minutes before serving in thick slices.