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Heat the oil in a large frying pan and fry the steak for 8-10 mins, turning to brown it all over. Remove from the pan and leave to cool. To make the gravy, add the shallot and garlic to the pan juices and cook, stirring, until softened and golden. Pour in the wine, add the herbs and leave to bubble for 2 mins. Pour in the stock and stir in the flour paste, stirring all the time until the gravy has thickened. Cover and cook for 5 mins over a low heat, then strain into a bowl or small freezer container, pushing through as much liquid left in the shallots as you can.
Wash the pan, then melt the butter and cook the shallot and garlic until softened. Add the mushrooms and thyme, and fry for 10 mins, stirring frequently, to drive off as much moisture as possible. Season with black pepper and sparingly with salt. Cool.
Lay a couple of sheets of cling film on the work surface, side by side and slightly overlapping, then arrange the prosciutto down the centre in two overlapping rows. Spread the mushroom mixture on top, then scatter evenly with the cheese and walnuts. Place the steak on top, then tightly wrap the prosciutto round it, using the cling film to help you. Finally, tightly wrap in the cling film and chill for 30 mins.
Roll out the pastry on a lightly floured surface until you think it is large enough to completely wrap round the steak roll. Unwrap the meat, place on top of the pastry and brush round it with the egg mixture. Tightly roll up in the pastry, trimming the excess as you bring the pastry together down the length and ends, sealing well. If you want to add decoration, cut out leaf shapes from the trimmings and use the egg mixture to stick them to the pastry. Chill until ready to cook. Will keep for 2 days. (If freezing, wrap in new cling film, then foil, and freeze along with the gravy and egg glaze. The day before, take everything out of the freezer and put in the fridge, unwrapping the steak roll and covering it loosely with kitchen paper.)
Heat oven to 220C/200C fan/gas 7 with a baking sheet inside. Place the (completely thawed) meat on a piece of baking parchment and brush with the egg glaze. Place on the hot baking sheet and cook for 45-50 mins. Insert a meat thermometer into the centre of the beef: for rare it should be 50C, for medium-rare 55C, and for medium 60C. Cover loosely with foil and leave to rest for 15-20 mins. Trim off the pastry end, then thickly slice and serve with the gravy, heated in a pan, and seasonal vegetables.