1. Slice all the mushrooms.
2. Preheat the oven to 450 degrees.
3. In a large wide mouthed baking pan, place the beef fillets. Pour olive oil generously over it. Season it generously with salt and pepper. Sprinkle rosemary.
4. Move the filets around in the pan to coat it well with the seasonings and oil. Let it sit for at least 15 minutes.
5. Place the baking dish with the beef in the oven and bake it for 40 minutes or till the internal temperature reaches 145 degrees (medium rare).
6. In a pan, heat butter. Put the mushrooms, cook till it turns born in colour while occasionally stirring it to cook evenly. Takes around 10 minutes.
7. Add thyme leaves. Pour wine and let it to evaporate.
8. Pour heavy cream and season with salt and pepper to taste. Turn the heat to low and allow it to reduce to the required sauce consistency.
9. Take the beef out of the oven and cut it into thick medallions.
10. In a serving platter, arrange the beef medallions, pour the mushroom sauce over and serve hot.