Preheat your oven to 200°C (400°F). Pat the Beef Tenderloin dry and season generously with Sea Salt and Black Pepper. Heat a heavy skillet until very hot, add Olive Oil and Butter, then sear the beef on all sides until deeply browned (about 2–3 minutes per side); remove from the pan and let cool slightly. Once cooled, brush the beef all over with English Mustard.
Finely chop the Mushrooms, the Shallots and mince the Garlic. In a wide pan over medium-high heat cook the mushrooms with a knob of Butter and a drizzle of Olive Oil, stirring frequently until the mixture releases its moisture and becomes a concentrated paste. Stir in chopped Thyme and season to taste with salt and pepper; cook off any excess moisture and let the duxelles cool completely.
On a large piece of cling film, lay overlapping slices of Parma Ham to form a rectangle big enough to wrap the beef. Spread the cooled duxelles evenly over the ham, place the mustard-coated beef in the center, then use the cling film to roll the ham tightly around the beef into a compact cylinder; twist the ends of the film to tighten and chill in the fridge for 15–30 minutes.
Roll out the Puff Pastry on a lightly floured surface to a size that will fully encase the wrapped beef. Unwrap the chilled beef and place it in the center of the pastry. Beat the Egg Yolks with the Milk to make an egg wash and brush the pastry edges before sealing so the seams stick. Trim any excess pastry and tuck the seams underneath for a neat finish.
Return the wrapped parcel to the fridge for another 15 minutes to firm up (this helps prevent soggy pastry). Just before baking, brush the top with more egg wash, then gently score the surface for decoration and to allow steam to escape.
Bake in the preheated oven for 35–40 minutes for medium-rare (adjust time for your preferred doneness — aim for about 55°C/131°F internal for medium-rare). The pastry should be deep golden and crisp. Remove from the oven and rest for 10–15 minutes before slicing so the juices redistribute.
While the Wellington is baking, make a glossy sauce: sweat the remaining Shallots in a little Butter and Olive Oil until soft. Add Red Wine and Madeira and reduce by about half to concentrate the flavors.
Pour in Beef Stock with a sprig of Thyme and a Bay Leaf, then simmer until the sauce reduces to a saucy consistency. Strain the sauce into a clean pan, remove the herb, and whisk in a cold knob of Butter off the heat to add shine and body. Season to taste with Sea Salt and Black Pepper.
Slice the rested Wellington thickly with a sharp knife and serve each portion with a spoonful of the warm sauce alongside.
