Preheat your oven to 200C/400F.Take the steaks out of the fridge 30 minutes before you intend to cookt hem. Preheat a cast iron pan or another heavy bottomed pan for about 5 minutes until screaming hot. (Make sure to have your extractor fan on or crack open a window.)
Pat the steaks dry with a paper towel, then brush with a little oil on both sides, generously season with coarse salt and pepper.
Place on a hot pan and gently press on the steaks for maximum contact with the surface of the pan, sear for 2 minutes on each side without moving the steaks. Make sure you sear the top, bottom and the sides equally. Once the searing is done, move to a small pan and finish in the preheated oven for 5-8 minutes until the temperature reaches 55C/130F for medium rare and 57C/135F for medium.
Take the filet mignon out of the oven and cover with foil, let stand for 10 minutes before serving. (These timings work for 8 oz steaks, reduce the oven time or skip it altogether if your steaks are smaller. 4 oz steaks do not need to go in the oven.)
Make the sauce while the steaks are in the oven and resting. In the same pan, heat the olive oil and saute the chopped onions over low heat for 5-7 minutes, then add the garlic and cook briefly for 30 seconds while stirring. Add the mushrooms with a pinch of salt, pepper and chopped rosemary and brown over medium heat until golden.
Sprinkle the mushrooms with flour and stir to coat. Deglaze the pan with the Marsala wine and let it bubble away for about 5 minutes until it's reduced by a half. Then add the stock and cook for 5 minutes longer. At the end stir in the double/heavy cream and let it warm through. Taste for seasoning and add more salt if needed, then take off the heat. Sprinkle with fresh parsley before serving if using. Serve filet mignon with the sauce.