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Preheat the oven to 200C/gas 6/fan 180C. Cut a cross from the base halfway to the tip of each head of chicory. Stuff the butter into the slits, then lay the slices of prosciutto or ham in pairs on the work surface, overlapping them slightly. Paint the ham with the mustard and lay the chicory on top. Roll each chicory head away from you, wrapping it snugly in the ham.
Lay the wrapped chicory in a small ovenproof dish or pan, pour over the stock or wine and top with the thyme sprigs. Cover the dish with a loose tent of foil and bake for 30-40 minutes until the chicory is softened.
Uncover the dish, lay the cheese slices over the chicory and bake, still uncovered, for a further 6-8 minutes, until the cheese is melting and golden. The chicory is now ready to serve. For an extra touch, remove the chicory, place the pan on a medium heat and boil the juices with the cream for 4-5 minutes until rich and syrupy. Pour the sauce over the chicory. Serve with sautéed potatoes and salad.