On a piece of plastic wrap, lay the prosciutto down in slightly overlapping in layers.
Place chopped up garlic and gorgonzola cheese then spread it over the prosciutto evenly.
Season the beef tenderloin with salt and pepper then quickly sear the outside of the tenderloin in olive oil for about 60 seconds on all sides -- do not cook it fully.
Coat the tenderloin with a thin layer of spicy mustard while it is still hot so that it can soak up the flavor.
Place the tenderloin in the middle of the prosciutto, cheese, and garlic mix. Encase the tenderloin with the prosciutto all around, using the plastic wrap to help create a tight and cylindrical form. Twist the ends of the plastic wrap so that the meat is tightly squeezed -- should look like a tootsie roll. Place it in the refrigerator for 20mins to allow the tenderloin to take shape.
Lay the puff pastry on a lightly floured sheet. Roll out the puff pastry big enough to wrap the tenderloin then coat one end of the puff pastry with egg yolk. Place the tenderloin in the middle of the puff pastry and tightly wrap the puff pastry around it, remove excess pastry to avoid excess overlap. Place the pastry on a floured baking sheet so that the seam of the pastry is on the bottom.
Coat the outside of the pastry with remaining egg yolks. Place in the refrigerator again for 15 minutes.
Preheat oven to 400F. Bake for 20 minutes at 400F. Reduce temperature to 350F and bake for another 10-15 minutes, depending on how red you like the center of the tenderloin.
Remove from oven and let rest for 10-15 minutes before serving.