Wrap each piece of beef tightly in a triple layer of cling film to set its shape, then chill overnight.
Remove the cling film and sear the beef fillets in a hot pan with a little olive oil for 30-60 seconds until browned, still 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. Add the thyme leaves and some seasoning. Cook 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.
Cut the 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 duxelle evenly over the ham.
Season the beef fillets, and place them on top of the mushroom-covered ham. Using the cling film, roll the Parma ham over the beef. Roll tight to get a nice, evenly thick log. Repeat this step with the other beef fillet, then chill for at least 30 minutes.
Brush the pastry with the egg. 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.
Start with 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 and thyme. Continue to cook for about 5 minutes, stirring frequently, until the shallots turn golden brown.
Add 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. 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. Bake at 200°C for 15-20 minutes until the pastry is golden brown and cooked. Rest for 10 minutes before carving.
Reheat the sauce, and serve on the side.