Wrap the beef 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, the thyme leaves and some seasoning;
When the mushrooms begin to release their juices, continue to cook over a high heat for about 10 minutes until all the excess moisture has evaporated and you are left with a mushroom paste (known as a duxelle);
Remove the duxelle from the pan and leave to cool;
Place the pastry 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 duxelle 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. 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 the 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;
Meanwhile, make the red wine sauce. Heat the oil in a large pan, then fry the beef trimmings for a few minutes until browned on all sides;
Stir in the shallots with the peppercorns, bay leaf and thyme and continue to cook for about 5 minutes, stirring frequently, until the shallots turn golden brown;
Pour in the vinegar and let it bubble for a few minutes until almost dry. Now add the wine and boil until almost completely reduced;
Add the stock and bring to the boil again. Lower the heat and simmer gently for 1 hour, removing any scum from the surface of the sauce, until you have the desired consistency. Strain the liquid through a fine sieve lined with muslin. Check for seasoning and set aside;
When you are ready to cook the beef wellingtons, score the pastry lightly and brush with the egg wash again, then bake at 200°C/Gas 6 for 15-20 minutes until the pastry is golden brown and cooked. Rest for 10 minutes before carving;
Meanwhile, reheat the sauce. Serve the beef wellingtons sliced, with the sauce as an accompaniment.