1: Grill 4 slices belly (streaky) bacon (thinly sliced) in the oven at 390°F (200°C), for about 20 minutes until nicely browned and leave the oven on afterwards. Set aside.
2: Heat 1 tablespoon olive oil in a frying pan on high heat. When really hot, add the filet mignon (after seasoning with salt and pepper) and fry briefly until browned all over.
3: Take the filet mignon out of the frying pan and split open by slicing across the middle, but do not cut right through the far side.
4: Fill with strips of bacon...
5: ...some chopped parsley and thin shavings of cheese.
6: Fold the meat back over the filling and tie firmly in place with string to avoid it opening up during cooking.
7: Put in the oven on a roasting dish, baking tray or even in the pan, if this can go in the oven.
8: Cook for about 20 to 25 minutes.
9: Undo the string, then serve in thick slices with your choice of accompaniment.
Remarks
For the cheese, I reccommend Gruyère or, better still, Comté, but you can use whatever you prefer, of course.