Thaw puff pastry. Rinse and dice mushrooms. Peel and mince shallots. Heat butter in a pan and sweat shallots. Add mushrooms and slowly fry until liquid has evaporated. Stir in madeira and cream and reduce over high heat. Season with salt and pepper. Mix in parsley and cool.
Rinse fillet, pat dry and season with salt and pepper. Heat oil in a pan and brown on all sides.
Put a large sheet of plastic wrap on the work surface. Spread mushroom mixture of plastic wrap. Top with ham. Put fillet on mushrooms and ham and wrap tightly in plastic wrap, so that the fillet is completely covered by the mushroom mixture.
Preheat an oven to 180°C (approximately 350°F).
Roll puff pastry into a large rectangle. Remove plastic wrap from beef and place on top of pastry. Brush edges with 1 egg yolk and tightly wrap pastry around the beef. Press well so that everything is sealed. Trim edges as desired. Slit the top of the dough a few times. Place fillet on a baking sheet lined with parchment. Mix remaining egg yolks with 1-2 tablespoons water and brush on the dough. Bake for about 40 minutes. Let rest briefly before cutting.
Add Yorkshire pudding to taste, slice and serve.