To prepare the beef: coat well with salt, pepper, rosemary, and thyme. Place 2 tablespponts of olive oil and butter in a pan over high heat. Sear each filet – do them in batches. Reserve the juices from the filet for the wine sauce. Remove the filets from heat and set aside. Once cooled smother with Dijon mustard.
On a lightly floured surface, roll the puff pastry out to about a 1/4-inch thickness. With a knife divide each sheet into thirds. Place each sheet of the puff pastry on a clean surface (large cutting board). You will have to work in batches. Place 1-2 pieces of prosciutto on top of the pastry sheet so that the pastry is completely covered by prosciutto (you may need more than 2 slices depending on how large you filet is. Shingle the prosciutto so it forms a rectangle that is big enough to encompass the entire filet of beef.
Using a rubber spatula cover the prosciutto evenly with a thin layer of duxelles. Place each filet in the center of the duxelles covered prosciutto. Wrap the filet up evenly in the puff pastry, tucking in the ends of the prosciutto as you roll to completely encompass the beef. Roll it up tightly to create a ball with excess pastry tucked under. Place each filet on a large cookie sheet.
Preheat oven to 425 degrees F.
Brush the top of each pastry with egg wash then make a couple of slits in the top of the pastry using the tip of a paring knife. Bake for 15 minutes at 425 then lower the heat to 350 and continue baking for about 15-20 minutes. You may want to bake longer or less depending on how rare you want your file. When you remove from the oven, let the filets rest for about 5-`0 minutes before serving.