Heat a large heavy skillet, such as cast iron, over high heat. Add 1 tablespoon olive oil. Season the steak generously with salt and pepper. When the oil is hot, sear the steak for 3 minutes on each side, until a nice crust has formed.
Transfer the pan to the preheated oven and roast for about 6 to 9 minutes, until the steaks are done to your liking. The inside will read 120°F on an internal thermometer for rare, 125°F for medium rare. Transfer the steaks to a cutting board and let rest.
While the meat is roasting and resting, combine the cream, Parmesan, mustard and salt and pepper in a small saucepan. Heat over medium heat, whisking frequently for about 5 minutes until thickened.
Serve the filets with the sauce drizzled over, sliced if desired, and the rest of the sauce passed on the side.