Cut the aubergine lengthways into thin slices (best with a slicer). In a pan, fry briefly on both sides in olive oil until they start to turn brown.
In the meantime, mix the cream cheese with feta, paprika powder and garlic to a paste. Possibly add some milk to make it smoother.
Salt the fried aubergine slices and place a tablespoon of the cream cheese mixture on the thick end and roll everything up. Place side by side in a flat baking dish and sprinkle with grated Parmesan.
Grill briefly in the oven until the cheese turns brown.