First make the horseradish mayonnaise.
Put the egg yolks, mustard, sugar and vinegar in a bowl. Whisk well and add the oil gradually, whisking all the time. The sauce will emulsify quite easily. Add the horseradish and chopped herbs. Taste and correct seasoning. It is unlikely to need salt because of the large quantity of mustard.
Chill until needed.
Chill the meat. Slice the beef fillet with a very sharp knife, 7mm thick. Place each slice on a piece of oiled cling film or parchment paper, cover with another piece of oiled cling film or parchment paper. Roll gently with a rolling pin until almost transparent and double in size. Peel the cling film or parchment paper off the top, invert the meat on to a plate, and gently peel away the other layer of clingfilm or parchment paper.
Arrange the rocket leaves on top of the beef. Sprinkle with sea salt and freshly ground pepper. Drizzle with the horseradish mayonnaise and serve immediately.