Individual Beef Wellingtons

4 (5-ounce) filet mignons, room temperature

2 tablespoons vegetable oil 

1/4 cup Dijon mustard 

1 tablespoon horseradish

2 tablespoons unsalted butter 

8 ounces cremini 

mushrooms, chopped fine

1 shallot, minced

1 tablespoon thyme leaves

2 tablespoons heavy cream 

1 tablespoon soy sauce

2 sheets phyllo, cut in half

4 thin slices prosciutto 

2 sheets puff pastry, cut in half  

1 large egg, beaten

Salt and pepper to taste 

Season filets with salt and pepper. In a medium skillet over medium-high, heat 2 tablespoons oil. Sear top and bottom of each filet, about 90 seconds per side. In a small bowl, stir together mustard and horseradish. Transfer filets to a plate, spread outside with mustard mixture, and chill. 

In the same pan, melt butter. Add mushrooms and cook until they have turned dark brown, about 6 minutes. Add shallot and thyme and cook until shallot is soft, about 2 minutes. Stir in cream and soy sauce and cook until cream is reduced and just coats mushrooms, about 5 minutes. Season mixture lightly with salt and pepper, transfer to a bowl, and chill until cold. 

Line a baking sheet with parchment. Lay one half sheet of phyllo on the parchment. Lay one slice of prosciutto in center and spread with one-fourth of the mushroom mixture. Place filet on top and fold phyllo over, then flip and tuck sides underneath.

Roll one half sheet of puff pastry into a square. Wrap pastry around filet, tucking in corners. Flip again to tuck edges under. Place on prepared pan. Repeat with remaining ingredients. Chill 30 minutes. 

Heat oven to 425 F. Use a very sharp knife to score top of pastry, then brush with egg. Bake until thermometer inserted into the center reads 125 F for medium rare, about 25 minutes. Let stand 5 minutes before serving.