Tie the tenderloin in 4 places so it holds its shape while cooking. Drizzle with olive oil, then season well with kosher salt and pepper. In a very hot, heavy skillet (preferably cast iron) lightly coated with olive oil, quickly sear the meat on all sides, including ends, until meat is browned about 2 to 3 minutes total. When the beef is seared, remove from heat, cut off twine and smear all over with Dijon mustard. This must be done while the beef is hot. Set aside to cool to room temperature. Using the same pan, proceed with preparation of Peppercorn Cream Sauce. Set out your prosciutto on a sheet of plastic wrap (plastic needs to be about a foot and a half in length so you can wrap and tie the roast up in it) on top of your cutting board. Lay the prosciutto, slightly overlapping to create a rectangular shingle pattern that is big enough to encompass the entire filet.
Using a spatula, evenly spread the duxelles to cover the prosciutto. Sprinkle with fresh thyme leaves.
Once the beef is cooled, place on the duxelles covered prosciutto towards the top of the sheet. Carefully roll the beef into a tight log shape using the plastic wrap to lift and roll. Tuck in the ends of the prosciutto as you roll to completely encompass the beef. Roll it up tightly in plastic wrap and twist the ends to seal it completely and hold it in a nice log shape. Set in the refrigerator for a minimum of one hour to ensure it maintains its shape.
Preheat oven to 425 degrees F.
On a lightly floured surface, roll the puff pastry out to about a 1/4-inch thickness. Depending on the size of your sheets you may have to overlap 2 sheets and press them together. Remove beef from refrigerator and cut off plastic. Set the beef he pastry. Brush the inside of the puff pastry with the egg wash. Season lightly with salt and pepper. Using the plastic wrap, gently but tightly roll the puff pastry over the tenderloin, making sure to tuck and fold over the longer sides to seal. Roll it up tightly in plastic wrap and twist the ends tightly inwards, pinching the excess pastry to seal it completely and hold it in a nice log shape. Trim the ends off and pinch the sides of the pastry to ensure it is fully sealed. Wrap in plastic and chill for 30 minutes.
Brush the top of the pastry with egg wash. Using the back of a knife, carefully score your pastry to make a design of your choosing (see photo for our design of choice). Make sure not to pierce the pastry during this step. Season with Kosher salt. Place in refrigerator for 5 minutes.
Bake in preheated oven for 45 to 60 minutes until pastry is golden brown and beef registers 120 degrees on an instant-read thermometer. Remove from oven and rest uncovered for 10 minutes or until temperature of roast reaches 130 degrees before cutting into thick slices. Garnish with chives and serve with Peppercorn Cream Sauce.