Take your filets and salt and pepper both sides
In a cast iron skillet over medium/high heat, add 2 tbsp oil. Sear each side for 30-45 seconds. You are just getting a hard sear/crust on each side of the steak, it will finish cooking later. Turn the heat to medium and remove steaks and set aside. Note: if your filet is tied with twine, you can cut it off at this point after you have seared the meat.
Add in 1 tbsp of olive oil, shallot, mushrooms, thyme, rosemary, pinch of salt pepper, and Worcestershire sauce. Sauté the mushrooms for about 15 minutes until they have released their juices and then the juices will evaporate. This will leave you with a mushroom type paste, remove from the skillet into a bowl. Turn heat off and set skillet aside, but hold onto that cast iron without cleaning it.
On a sheet of cling wrap place two pieces of prosciutto in a cross +. Spoon and spread half of the mushroom mix onto the prosciutto.
Take one filet and brush 1 tbsp of dijon mustard to coat entire steak. Place the filet in the center of the prosciutto and one side at a time, use the cling wrap to assist you wrapping the prosciutto around the filet. If the prosciutto doesn't reach all the way around, you can add another piece to the top to cover the filet. Wrap the cling wrap tightly around and chill in the refrigerator for 10 minutes while you prepare the pastry. Repeat with the other filet and remaining mushroom mixture.
Preheat oven to 400F
Lightly flour counter. Take the puff pastry and roll it out into a larger square. cut into four squares (they have to be big enough to encase the beef filet). You can refreeze the other two squares to use another time.
In a small bowl, whisk together the egg yolk and water. Take the puff pastry square and brush the outside border with the egg wash. Unwrap the prosciutto wrapped filets and place them in the center of the puff pastry square. Carefully and tightly wrap the puff pastry fully around the filet and pinch at the center/folds so it remains closed/sealed. If there is excess pastry, you can trim with scissors. Brush the entire outside with the egg wash, then place on a rimmed baking sheet.
Place on a baking sheet and bake in the oven for 13-15 minutes. It is very important to use a meat thermometer to cook to desired Internal temperature, because filet sizes vary and this dish is best served medium rare. Medium rare temperature is 130F-140F, so you will want to take the meat out when it registers at 125F. Medium temperature is 140F-150F, take the meat out at 135F. Allow Steaks to rest for 7 minutes before serving.
While the steak cooks make the peppercorn sauce. In the same cast iron skillet, without wiping it out, heat over medium heat. Once warm, add in the Brady or cognac and let it reduce by half. Add in the broth and allow that to simmer for an additional 3 minutes. Turn the heat to medium low, add in the peppercorns, the half and half, and sprinkle the flour in. Whisk and allow it to gently simmer for 2 minutes and thicken. Taste and add a pinch of salt if needed. Keep warm on the side.
Serve the individual beef wellingtons with the black peppercorn sauce on the side or drizzled over top.