Sear the filet on all sides season the fillet with salt and pepper add 1 or 2 tablespoons of oil to a large pan on high heat.
Remove the fillet from the pan once cooled brush the filet with mustard.
Chop the mushrooms purée them in a food processor transfer the purée to a sauté pan that has been heated to medium high heat to cook allow the mushrooms to release their moisture once the moisture has been boiled away take the mushrooms out of pan to cool.
Lay out the slices of ham on plastic wrap spread the mushroom mixture over the ham place the filet in the middle wrap the fillet into a tight barrel shape twist the end of the plastic wrap to secure and the refrigerate for 20 minutes.
Preheat the oven to 400°F/204°C.
On a lightly floured surface, roll out a sheet of puff pastry to a size that will fit the 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.
Place the pastry-wrapped fillet on a baking tray brush the exposed surface again with the beaten eggs score the top of the pastry with a knife not going all the way through the pastry sprinkle the top with coarse salt.
Bake at 400°F/204°C for 25-35 minutes the pastry should be nicely golden when done to ensure that your roast is medium rare test with a instant read thermometer 125-130°F/51-54°C is the desired temperature for medium rare remove from the oven and let rest for 10 minutes slicing slice in 1 inch thick slices.