Preheat the oven to 200 c/Gas 6/400 F.
Grease an ovenproof dish with a little of the butter ensuring that the dish is the right size for the rolls to fit tightly together.
Cut the courgettes lengthways into long slices 3mm thick and place into a pan with a little olive oil, salt and pepper, cover with cling film and leave to marinate.
On a board with the skinned side uppermost cut the fillets in half lengthways, season and roll up, using a cocktail stick to secure the roll.
Pack tightly into the dish and pour over the fish stock, cover and seal with tin foil and bake for 15 to 20 minutes depending on the thickness of the fillets.
While the fish is cooking wipe clean the mushrooms with a damp cloth.
Heat the butter in a frying pan until it’s foaming, and sauté the mushrooms for 4 minutes or until just tender (do not over cook).
If the mushrooms are quite large then halve or quarter them before cooking.
Season with salt and pepper and keep warm.
Carefully remove the rolls from the dish with a slotted spoon, wrap them in tin foil and keep warm.
Strain the cooking liquid into a small pan, add the saffron and boil on a high heat until reduced by half.
Remove from the heat and stir in the cream, simmer for 1 minute.
Place the lightly beaten egg yolk in a bowl and add a little of the hot cream sauce and stir well, add the remaining cream sauce.
Transfer to a saucepan and heat gently, stirring all the time until the sauce has thickened slightly, it should coat the back of the spoon, do not over cook.
Cook the courgettes and their juices on a high heat for 2 minutes or until just tender, strain well and arrange them in the centre of 4 warmed plates.
Remove the cocktail sticks and arrange the rolled fillets on top of the bed of courgettes.
Place the mushrooms around the plate and carefully drizzle the sauce over the mushrooms and fish.
Liberally sprinkle the plate with chopped parsley and serve immediately.
This dish works well with boiled baby new potatoes or pan roasted rosemary potatoes.