Take the dough out of the fridge about 10 minutes before preparation. Grate cheese. Preheat oven (electric cooker: 200 °C/circulating air: 175 °C/gas: see manufacturer).
Line a baking tray with baking paper. Unroll the puff pastry, removing the baking parchment. Spread cheese and ham evenly on the dough. Roll up the dough sheet from the long side.
Cut the roll into about 8 pieces. Whisk egg yolk and 2 tbsp. water. Spread the dough pieces thinly with it. Place on a baking tray and bake in a hot oven for about 15 minutes.