Preheat your oven to 200°C (400°F) and line a baking sheet with parchment paper.

Roll out the puff pastry on a lightly floured surface into a rectangle about ¼ inch thick.

Spread Dijon mustard evenly over the pastry, leaving a small border around the edges.

Layer slices of ham, followed by a sprinkle of shredded cheese and a dash of black pepper.

Roll the pastry tightly from one long edge to the other, and pinch the seams to seal.

Slice the log into 12 equal pieces, about 1 cm (½ inch) thick, and place cut-side up on the baking sheet.

Whisk together the egg and milk, then brush the mixture over the tops of the swirls.

Bake for 12 to 15 minutes until puffed and golden brown.

Allow to cool slightly before serving warm.