Start by making a béchamel sauce. Heat the butter in a saucepan over a medium heat until melted and foaming, then stir in the flour and cook for 2-3 mins, stirring well until the flour has darkened slightly. Pour in the milk, a splash at a time, whisking well after each addition. Bring to a simmer and stir in the mustard, bay leaf and nutmeg. Bubble gently, stirring occasionally for 5-7 mins until thickened and reduced. Season to taste, then set aside and leave to cool to room temperature.

Heat the olive oil in a frying pan over a medium-high heat. Stir in the mushrooms and thyme and fry for 5-7 mins until golden all over. Tip out onto a plate and spread out to cool to room temperature.

If you’re prepping ahead, line a freezerproof container with baking parchment. Unroll the pastry sheet and spread over the cooled béchamel sauce, leaving a 3cm border on the longest side furthest away from you. Scatter over the cooled mushrooms, gruyère, and arrange the ham slices on top, leaving the border free. Brush the border with a little water. Starting from the long end closest to you, roll up tightly, using the parchment to help, pressing with your fingers to seal. Cut into eight even pieces and stuff any bits that fall out back in. Will keep frozen for up to three months. Arrange the unbaked scrolls in a single layer in the prepared container.

Heat the oven to 200C/180C fan/gas 6. Lift the scrolls using the baking parchment, and transfer to a large baking tray. Space well apart, as they will puff up in the oven. Generously brush the sides and tops of the scrolls with the beaten egg. Bake for about 30 mins or 45-50 mins from frozen until golden, bubbling and puffed up. Leave to cool on the baking tray for 15 mins to firm up before serving warm. Will keep chilled in an airtight container for up to two days.