Halve the ham slices. Drain the salsify and wrap each (or several) in half a slice of ham. Place in a buttered baking dish.
Whisk the cream, egg yolks and grated cheese together. Season to your own taste. Season with a few spritzes of cognac. Pour everything over the salsify ham rolls.
Gratinate in a hot oven at 220 ° C top / bottom heat for 20 minutes. Sprinkle with parsley.